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Extreme Downside Risk and Market Turbulence
Harris, Richard D. F. - 2019
We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …
Persistent link: https://www.econbiz.de/10012871525
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Uncertainty and Risk Management after the Great Moderation : The Role of Risk (Mis)Management by Financial Institutions
Blommestein, Hans J. - 2010
Persistent link: https://www.econbiz.de/10013150594
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Idiosyncratic Risks, Bailout, and Financial Crisis : A Copula Approach
Wang, Daphne - 2013
The evidence on the dependence relationship of idiosyncratic risks among public-listed banks is unclear in the presence of bailout event in recent financial crisis. There is suspicion on the effects of bailout regimes on the idiosyncratic risks distribution among different size-paired banks. We...
Persistent link: https://www.econbiz.de/10013086564
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...
Persistent link: https://www.econbiz.de/10012181922
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How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?
Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022
In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...
Persistent link: https://www.econbiz.de/10013406460
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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
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Risk analysis of world major stock index before and after the 2008 financial crisis : based on GARCH-VaR approach
Wu, Maoguo; Wang, Yanyuan - In: International journal of financial research 9 (2018) 2, pp. 39-54
Persistent link: https://www.econbiz.de/10012236540
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Volatility analysis of returns and risk : family versus nonfamily firms
Madaleno, Mara; Vieira, Elisabete F. Simões - In: Quantitative finance and economics 2 (2018) 2, pp. 348-372
Persistent link: https://www.econbiz.de/10012156651
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Climate Change-Stock Return Volatility Nexus in Advanced Economies : The Role of Technology Shocks
Salisu, Afees; Isah, Kazeem - 2023
In this paper, we analyze the connection between climate change and stock return volatility. We use temperature anomalies to measure climate change and examine the role of technology shocks. Our study covers decades of data from 1880 to 2018, and we use a new dataset to track technology shocks....
Persistent link: https://www.econbiz.de/10014357001
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Cross hedging stock sector risk with index futures by considering the global equity systematic risk
Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17
nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …
Persistent link: https://www.econbiz.de/10011883272