Similar Search Results - EconBiz

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

Persistent link: https://www.econbiz.de/10012612441

Long vs. short term asymmetry in volatility and the term structure of risk

Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209

Persistent link: https://www.econbiz.de/10011808396

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2020

Persistent link: https://www.econbiz.de/10012253930

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

Persistent link: https://www.econbiz.de/10011293745

Correlated idiosyncratic volatility shocks

Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54

Persistent link: https://www.econbiz.de/10012630868

Risk estimation with a time-varying probability of zero returns

Sucarrat, Genaro; Grønneberg, Steffen - In: Journal of financial econometrics 20 (2022) 2, pp. 278-309

Persistent link: https://www.econbiz.de/10013187979

Global risk factor theory and risk scenario generation based on the Rogov-causality test of time series time-warped longest common subsequence

Rogov, Mikhail - In: Financial econometrics and empirical market microstructure, (pp. 263-278). 2015

Persistent link: https://www.econbiz.de/10011326620

Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics

Chen, Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - In: Journal of banking & finance 93 (2018), pp. 21-32

Persistent link: https://www.econbiz.de/10011964613

Financial assets, expected return and risk, speculation, uncertainty, and exchange rate determination

Kallianiotis, Ioannis N.; Bianchi, Karen; Arize, … - In: European research studies 23 (2020) 3, pp. 3-30

Persistent link: https://www.econbiz.de/10012286910

Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach

Hallin, Marc; Trucios, Carlos - 2020

Persistent link: https://www.econbiz.de/10012437084

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