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How does the Russian-Ukrainian war change connectedness and hedging opportunities? : comparison between dirty and clean energy markets versus global stock indices

Karkowska, Renata; Urjasz, Szczepan - In: Journal of international financial markets, … 85 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014433239

Arbitrage pricing theory for idiosyncratic variance factors

Renaut, Eric; Heijden, Thijs van der; Werker, Bas J. M. - In: Journal of financial econometrics 21 (2023) 5, pp. 1403-1442

Persistent link: https://www.econbiz.de/10014444683

Volatility spillovers between oil and coal prices and its implications for energy portfolio management in China

Guo, Yanfeng; Zhao, Huanyu - In: International review of economics & finance : IREF 89 (2024) 2, pp. 446-457

Persistent link: https://www.econbiz.de/10014446777

Institutional investment activities and stock market volatility amid COVID-19 in India

Naik, Pramod Kumar; Shaikh, Imlak; Toan Luu Duc Huynh - In: Economic research 35 (2022) 1,2, pp. 1542-1560

Persistent link: https://www.econbiz.de/10014380903

A polynomial-affine approximation for dynamic portfolio choice

Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213

Persistent link: https://www.econbiz.de/10014382894

Improving the volatility of the optimal weights of the Markowitz model

Ortiz, Roberto; Contreras, Mauricio; Mellado, Cristhian - In: Economic research 35 (2022) 1,3, pp. 2836-2858

Persistent link: https://www.econbiz.de/10014383313

Volatility connectedness on the Central European forex markets

Albrecht, Peter; Kočenda, Evžen - 2023

We provide a comprehensive assessment of volatility connectedness between the currencies of Central European (CE) countries using high-frequency data from 2009 to 2022. We assess asymmetries in connectedness (not investigated for CE currencies before) and document domination of the negative...

Persistent link: https://www.econbiz.de/10014414188

Period specific volatility spillover based connectedness between oil and other commodity prices and their portfolio implications

Guhathakurta, Kousik; Dash, Saumya Ranjan; Maitra, Debasish - In: Energy economics 85 (2020), pp. 1-22

Persistent link: https://www.econbiz.de/10012510102

A systematic literature review of volatility and risk management on cryptocurrency investment : a methodological point of view

Almeida, José; Gonçalves, Tiago Cruz - In: Risks : open access journal 10 (2022) 5, pp. 1-18

In this study, we explore the research published from 2009 to 2021 and summarize what extant literature has contributed in the last decade to the analysis of volatility and risk management in cryptocurrency investment. Our samples include papers published in journals ranked across different...

Persistent link: https://www.econbiz.de/10013357341

Income volatility and portfolio choices

Chang, Yongsung; Hong, Jay H.; Karabarbounis, Marios; … - 2020

Persistent link: https://www.econbiz.de/10013359210