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Price and volatility spillovers of the producer price of milk between some EU member states
Szenderák, János; Popp, József; Harangi-Rákos, Mónika - In: German journal of agricultural economics : GJAE 68 (2019) 2, pp. 61-76
Persistent link: https://www.econbiz.de/10012018725
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Measuring dynamic market risk charge for market risks
Rahim, Norhana Abd.; Tafri, Fauziah Hanim - In: International journal of economics, finance and … 1 (2013) 3, pp. 175-180
Persistent link: https://www.econbiz.de/10010251805
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The dynamic relations between market returns and two types of risk with business cycles
Jiang, Xiaoquan; Lee, Bong-soo - In: The financial review : the official publication of the … 49 (2014) 3, pp. 593-618
Persistent link: https://www.econbiz.de/10010401371
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Estimation and performance assessment of value-at-risk and expected shortfall based on long-memory GARCH-class models
Aloui, Chaker; Ben Hamida, Hela - In: Finance a úvěr 65 (2015) 1, pp. 30-54
Persistent link: https://www.econbiz.de/10010474200
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Asymmetric GARCH value-at-risk over MSCI in financial crisis
Huang, Han-Ching; Su, Yong-chern; Tsui, Jen-Tien - In: International journal of economics and financial issues … 5 (2015) 2, pp. 390-398
Persistent link: https://www.econbiz.de/10011453527
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011520321
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Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola; Curcic, Nikola; Milojkovic, Dragana; … - In: The journal of risk model validation 10 (2016) 2, pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
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Hull-White's value at risk model : case study of Baltic equities market
Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041
Persistent link: https://www.econbiz.de/10011781020
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011674278