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Predictive ability of value-at-risk methods : evidence from the Karachi Stock Exchange-100 index
Iqbal, Javed; Azher, Sara; Ijaz, Ayesha - 2010
Value-at-risk (VaR) is a useful risk measure broadly used by financial institutions all over the world. VaR has been extensively used to measure systematic risk exposure in developed markets like of the US, Europe and Asia. This paper analyzes the accuracy of VaR measure for Pakistan's emerging...
Persistent link: https://www.econbiz.de/10011524092
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Risk-adjusted performances of world equity indices
Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 706-721
Persistent link: https://www.econbiz.de/10011562564
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
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Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)
Iglesias, Emma M. - In: Journal of policy modeling : JPMOD ; a social science … 37 (2015) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10011333008
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Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed - In: Journal of international financial markets, … 46 (2017), pp. 30-53
Persistent link: https://www.econbiz.de/10011745291
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How fat are the tails of equity market indices?
Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
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Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung - In: Emerging markets, finance and trade : EMFT 56 (2020) 3, pp. 508-526
Persistent link: https://www.econbiz.de/10012211476
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Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
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Applied asset and risk management : a guide to modern portfolio management and behavior-driven markets
Schulmerich, Marcus; Leporcher, Yves-Michel; Eu, Ching-Hwa - 2015 - Aufl. 2015
Persistent link: https://www.econbiz.de/10010429724