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Assessing portfolio vulnerability to systemic risk : a vine copula and APARCH-DCC approach

Mba, Jules Clement - In: Financial innovation : FIN 10 (2024), pp. 1-36

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Persistent link: https://www.econbiz.de/10014532413

Capital Mobility and the Long-Run Return-Risk Trade-Offs of Industry Portfolios

Chen, Jia - 2020

Capital mobility may equalize investment opportunities across industries, and further, may cause the return-risk trade-offs of industry portfolios to converge. We show that over an extended period from 1926 to 2014, value-weighted industry portfolios based on Fama-French 5, 10, 12, 17, 30, and...

Persistent link: https://www.econbiz.de/10012853016

Dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets : evidence from developed and emerging countries

Sahabuddin, Mohammad; Md. Aminul Islam; Tabash, Mosab I.; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-19

This study aims to investigate the dynamic conditional correlation and volatility spillover between the conventional …) approaches to investigate dynamic conditional correlation and volatility spillover between conventional and Islamic stock markets … for a specific time horizon and present time-varying volatility and dynamic conditional correlation, while volatility …

Persistent link: https://www.econbiz.de/10014305816

Dedicated Short Bias Hedge Funds Diversification and Alpha during Financial Crises

Connolly, Ciara - 2019

nonlinear estimation techniques. We conclude that DSB hedge funds are a significant source of diversification for equity market …

Persistent link: https://www.econbiz.de/10012906081

Portfolio Diversification using Cryptocurrency

S, Padmavarthini - 2021

diversification. In this paper we use SOLVER, Modern Portfolio Theory and system of comparing Portfolio with FOREX & Commodity …

Persistent link: https://www.econbiz.de/10013235837

Redefining Hedge Fund Alpha and Risk Exposures after the Financial Crisis

Gupta, Raj - 2009

The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the end of 1990 to over USD 2.1 trillion at the end of 2007. However, assets managed by hedge funds...

Persistent link: https://www.econbiz.de/10013154851

Market Risk and the Momentum Mystery

Kolari, James W. - 2019

This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...

Persistent link: https://www.econbiz.de/10012897530

Diversifier or More? Hedge and Safe Haven Properties of Green Bonds During COVID-19

Arif, Muhammad; Naeem, Muhammad Abubakr; Farid, Saqib; … - 2021

Against the backdrop of the Covid-19 pandemic, this study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We use the cross-quantilogram approach that provides a better understanding of the dynamic relationship...

Persistent link: https://www.econbiz.de/10013247578

Hedge fund performance during and after the crisis : a comparative analysis of strategies 2007-2017

Metzger, Nicola; Shenai, Vijay - In: International Journal of Financial Studies : open … 7 (2019) 1/15, pp. 1-31

The performance of hedge funds is of interest to investors looking for ways of generating value over passive strategies, particularly in bad times. This study used the Hedge Index database with over 9500 hedge funds to analyse, in depth, the performance of ten major strategies, during and after...

Persistent link: https://www.econbiz.de/10012038535

COVID-19 pandemic and the crude oil market risk : hedging options with non-energy financial innovations

Salisu, Afees A.; Obiora, Kingsley - In: Financial innovation : FIN 7 (2021), pp. 1-19

innovations given the potential positive correlation between energy variants and crude oil proxies. We employ a multivariate …

Persistent link: https://www.econbiz.de/10012511784