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Innovation and idiosyncratic risk : an industry and firm level analysis
Mazzucato, Mariana (contributor);  … - 2004
Recent studies find that idiosyncratic risk (IR) has increased since the 1960's and attribute this to economy wide … characterized by higher IR due to how innovation activity affects the uncertainty of expected future profits. While the industry …&D intensity and the volatility of its returns. -- Idiosyncratic Risk ; Volatility ; Technological Change ; Industry Life Cycle …
Persistent link: https://www.econbiz.de/10002570986
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Volatility and risk relevance of comprehensive income
Khan, Shahwali; Bradbury, Michael E. - In: Journal of contemporary accounting & economics 10 (2014) 1, pp. 76-85
Persistent link: https://www.econbiz.de/10010346169
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Value at risk for a mixture of normal distributions : the use of quasi-Bayesian estimation techniques
Venkataraman, Subu - In: Economic perspectives 21 (1997) 2, pp. 2-13
Persistent link: https://www.econbiz.de/10001218351
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Do uncertainty and technology drive exchange rates?
Guerrón-Quintana, Pablo A. - 2009
Persistent link: https://www.econbiz.de/10003910414
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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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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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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Model risk in risk models : quantifying statistical uncertainty in active risk
Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65
Persistent link: https://www.econbiz.de/10012423057
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Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches
Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48
Persistent link: https://www.econbiz.de/10011868092