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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76
Persistent link: https://www.econbiz.de/10011377303
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Tail risk and expected stock returns around the world
Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178
Persistent link: https://www.econbiz.de/10012169574
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International tail risk and world fear
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017
is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …
Persistent link: https://www.econbiz.de/10011751251
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Macroeconomic risk factors and the role of mispriced credit in the returns from international real estate securities
Pavlov, Andrey D.; Steiner, Eva; Wachter, Susan M. - In: Real estate economics : journal of the American Real … 43 (2015) 1, pp. 241-270
Persistent link: https://www.econbiz.de/10010526348
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Heavy-tailed distribution of commodity prices and the effectiveness of VaR models
Kittiakarasakun, Jullavut - In: International financial markets, (pp. 125-137). 2013
Persistent link: https://www.econbiz.de/10010204758
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Macroeconomic Risk Factors and the Role of Mispriced Credit in the Returns from International Real Estate Securities
Pavlov, Andrey D. - 2013
We examine the canonical influence of global market, currency and inflation risks on the returns from international real estate securities. In addition, we study how mispricing of credit in the local banking systems is related to the returns from these securities. We analyse a global sample of...
Persistent link: https://www.econbiz.de/10013072123
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Global downside risk and equity returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur; … - In: Journal of international money and finance 98 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012140071
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Credit risk measurement using VaR methodology
Valaskova, Katarina; Siekelova, Anna; Weissova, Ivana - In: Advances in applied economic research : proceedings of …, (pp. 289-302). 2017
Persistent link: https://www.econbiz.de/10011744130
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Global tail risk and oil return predictability
Qian, Lihua; Zeng, Qing; Lu, Xinjie; Ma, Feng - In: Finance research letters 47 (2022) 2, pp. 1-6
Persistent link: https://www.econbiz.de/10013553904
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305