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The new hybrid value at risk approach based on the extreme value theory
Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …
Persistent link: https://www.econbiz.de/10011503775
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Stochastic growth, taxation policy and welfare cost in an open emerging economy
Chebbi, Ali - In: International review of economics : journal of civil economy 62 (2015) 1, pp. 57-84
Persistent link: https://www.econbiz.de/10010501292
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Valuation in emerging markets : a simulation approach
García-Sánchez, Javier; Preve, Lorenzo; Sarria … - In: Journal of applied corporate finance : JACF 22 (2010) 2, pp. 100-108
Persistent link: https://www.econbiz.de/10008747837
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Re-emerging markets
Goetzmann, William N.; Jorion, Philippe - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001436334
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Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation
Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20
-copula simulated returns give very similar but not identical results. Furthermore, the copula simulation provides more accurate market …-risk estimates than historical simulation. Finally, the results support the notion that G7 countries can provide an important …
Persistent link: https://www.econbiz.de/10012127555
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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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Crypto exchanges and credit risk : modeling and forecasting the probability of closure
Fantazzini, Dean; Calabrese, Raffaella - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-23
While there is increasing interest in crypto assets, the credit risk of these exchanges is still relatively unexplored. To fill this gap, we considered a unique dataset of 144 exchanges, active from the first quarter of 2018 to the first quarter of 2021. We analyzed the determinants surrounding...
Persistent link: https://www.econbiz.de/10012794905
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Predicting consumers' intention to shop online in an emerging market : a COVID-19 perspective
Islam, Md. Afsarul; Anjum, Nishath; Ahmed, Md. Imran - In: Journal of marketing and consumer behaviour in emerging … (2021) 1/12, pp. 4-18
online during the COVID-19 pandemic in Bangladesh. Based on the Theory of Planned Behavior (TPB), this study attempts to …
Persistent link: https://www.econbiz.de/10012666740
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A new INAR(1) model for Z-valued time series using the relative binomial thinning operator
Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152
conditional maximum likelihood methods are considered for the parameter estimation of the model. Moreover, simulation experiments …
Persistent link: https://www.econbiz.de/10014514104
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Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets
Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24
Purpose: This paper examines the associative and causal relationship between changes in the implied volatility index (VIX) and stock market returns, with data from 15 countries representing both developed and emerging economies.1 We also examine the dynamic variation, if any in the nature of the...
Persistent link: https://www.econbiz.de/10012219567