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Future portfolio returns and the VIX term structure
Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
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Are value at risk and maximum drawdown different from volatility in stock market?
Kim, Soo-Hyun - In: The journal of applied business research 34 (2018) 2, pp. 217-222
Persistent link: https://www.econbiz.de/10011868772
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Asymptotic dependence modelling of the BRICS stock markets
Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32
With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...
Persistent link: https://www.econbiz.de/10013368365
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Drawdown risk in mutual funds performance
Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106
. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …
Persistent link: https://www.econbiz.de/10009746020
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Shock markets : trading lessons for volatile times
Webb, Alexander; Webb, Robert I. - 2013 - 1. ed.
Persistent link: https://www.econbiz.de/10009748059
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Spillover effects among share prices in the Athens' stock exchange
Athanasios, Bellas; Kanellos, Toudas - In: Spudai / University of Piraeus : journal of economics … 60 (2010) 3/4, pp. 69-100
Persistent link: https://www.econbiz.de/10010201428
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Investment strategies and determinants in capital markets
Grabellus, Markus - 2014
Persistent link: https://www.econbiz.de/10010486731
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Financialization in commodity markets : disentangling the crisis from the style effect
Adams, Zeno; Glück, Thorsten - 2014
In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...
Persistent link: https://www.econbiz.de/10010410769
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Co-dependence of extreme events in high frequency FX returns
Polanski, Arnold; Stoja, Evarist - In: Journal of international money and finance 44 (2014), pp. 164-178
Persistent link: https://www.econbiz.de/10010391066
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Value at Risk-Quantifizierung unter Verwendung von Hochfrequenzdaten : empirische Analyse am Beispiel des Aktienkursrisikos
Neukomm, Mark - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001932309