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The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks
Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318
Persistent link: https://www.econbiz.de/10012671925
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Interlinkages and diversification opportunities among emerging bond markets : BRIC and BRICS comparison
Obalade, Adefemi Alamu; Moeti, Tsepang; Moodley, Vijen; … - 2022
Persistent link: https://www.econbiz.de/10013197481
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Unveiling the diversification capabilities of carbon markets in NFT portfolios
Díaz, Antonio; Esparcia, Carlos; Huélamo, Diego - In: Finance research letters 58 (2023) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10014633086
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Extreme connectedness between NFTs and US equity market : a sectoral analysis
Ali, Shoaib; Umar, Muhammad; Gubareva, Mariya; Xuan Vinh Vo - In: International review of economics & finance : IREF 91 (2024), pp. 299-315
Persistent link: https://www.econbiz.de/10014492150
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A theory of risk capital
Erel, Isil; Myers, Stewart C.; Read, James A. - In: Journal of financial economics 118 (2015) 3, pp. 620-635
Persistent link: https://www.econbiz.de/10011480544
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Dynamic commodity portfolio management : a regime-switching VAR model
Singhal, Shelly; Biswal, Pratap Chandra - In: Global business review 22 (2021) 2, pp. 532-549
Persistent link: https://www.econbiz.de/10012520247
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Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking
Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428
Persistent link: https://www.econbiz.de/10015057498
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On the usefulness of dynamically spilled risk : an optimal portfolio allocation based on cross-sector information contagion
Shigemoto, Hideto; Morimoto, Takayuki - In: Cogent economics & finance 11 (2023) 2, pp. 1-13
It is well known that the volatility spillover increases when a large economic shock occurs, and then the volatility spillover pattern in the market changes. Accordingly, many papers note that clarifying the time-varying pattern of volatility transmission in domestic and international markets is...
Persistent link: https://www.econbiz.de/10014503074
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530
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Shock and volatility spillovers among equity sectors of the gulf Arab stock markets
Hammoudeh, Shawkat M. (contributor); Yuan, Yuan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003780792