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A note on a new weighted idiosyncratic risk measure
Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198
Persistent link: https://www.econbiz.de/10010458525
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Estimation of distortion risk measures
Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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Does risk culture affect banks' volatility? : the case of the G-SIBs
Coluccia, Daniela; Fontana, Stefano; Graziano, Elvira Anna - In: Corporate ownership & control : international … 15 (2017/2018) 1, pp. 33-43
Persistent link: https://www.econbiz.de/10011892948
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Die Quantifizierung und Prognose des Marktrisikos
Dockner, Engelbert J. - In: Wege zur Ganzheit : Festschrift für J. Hanns Pichler …, (pp. 799-809). 1996
Persistent link: https://www.econbiz.de/10001296812
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016
Persistent link: https://www.econbiz.de/10011432076
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Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
Su, Jung-bin - In: Economic modelling 46 (2015), pp. 204-224
Persistent link: https://www.econbiz.de/10011436595
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Asymmetric volatility, skewness, and downside risk in different asset classes : evidence from futures markets
Tse, Yiuman - In: The financial review : the official publication of the … 51 (2016) 1, pp. 83-111
Persistent link: https://www.econbiz.de/10011436801
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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Is there a low-risk anomaly across countries?
Zaremba, Adam - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 45-65
Persistent link: https://www.econbiz.de/10011441281
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Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions
Assaf, Ata - In: Journal of multinational financial management 29 (2015), pp. 30-45
Persistent link: https://www.econbiz.de/10011539511