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Dynamics of income rank volatility : evidence from Germany and the US

Chauvel, Louis; Hartung, Anne; Palmisano, Flaviana - 2017

This paper presents a methodology for comparing income rank volatility profiles over time and across distributions. While most of the existing measures are affected by changes in marginal distributions, this paper proposes a framework that is based on individuals’ relative positions in the...

Persistent link: https://www.econbiz.de/10011747288

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

A study on risk return relationship of Indian equity markets

Thappa, Sankar - In: Advances in Management Research : Emerging Challenges …, (pp. 237-242). 2022

Persistent link: https://www.econbiz.de/10014434886

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Parameter estimation error: a cautionary tale in computational finance

Popovic, Ray - 2010

motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … the underlying risk-neutral process. Next we extend our work to the contingent claim sensitivities associated with an … difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. …

Persistent link: https://www.econbiz.de/10009476145

Risk Management of Daily Tourist Tax Revenues for the Maldives

McAleer, Michael; Shareef, Riaz; da Veiga, Bernardo - 2005

magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives … tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. In this paper …

Persistent link: https://www.econbiz.de/10010312482