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Water exchange traded funds : a study on idiosyncratic risk using Markov switching analysis
Tularam, Gurudeo Anand; Reza, Rajibur - In: Cogent economics & finance 4 (2016) 1, pp. 1-12
We investigate the relationship between idiosyncratic risk and return among four water exchange traded funds … the idiosyncratic risk for most of the exchange traded funds move from low volatility (Regime 2) to very low volatility … seems that water investment has a lower systematic risk and a positive effect on the water exchange traded index funds …
Persistent link: https://www.econbiz.de/10011450371
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Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
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Disentangling crashes from tail events
Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219
Persistent link: https://www.econbiz.de/10011348417
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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
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The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425
Persistent link: https://www.econbiz.de/10010528975
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The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012816709
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Firm-level cybersecurity risk and idiosyncratic volatility
Alan, Nazli Sila; Karagozoglu, Ahmet K.; Zhou, Tianpeng - In: The journal of portfolio management : JPM 47 (2021) 9, pp. 110-140
Persistent link: https://www.econbiz.de/10012613464
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Mutual funds herding behavior, sentiment, and market volatility
Kholdy, Shady; Miller, John; Sun, Libo - In: The journal of wealth management : JWM 24 (2021) 2, pp. 92-107
Persistent link: https://www.econbiz.de/10012613519
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Managing portfolio volatility
Stamos, Michael Zisis; Zimmerer, Thomas - In: The journal of portfolio management : JPM 47 (2021) 4, pp. 99-109
Persistent link: https://www.econbiz.de/10012486045
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On the macro-drivers of realized volatility : the destabilizing impact of UK policy uncertainty across Europe
Karanasos, Menelaos; Yfanti, S. - In: The European journal of finance 26 (2020) 12, pp. 1146-1183
Persistent link: https://www.econbiz.de/10012264953