Similar Search Results - EconBiz

Forecast of value at risk for equity indices : an analysis from developed and emerging markets

Huang, Alex; Tseng, Tsung-Wei - In: Journal of risk finance : the convergence of financial … 10 (2009) 4, pp. 393-409

Persistent link: https://www.econbiz.de/10009523713

Ranking of VaR and ES Models : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2012

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...

Persistent link: https://www.econbiz.de/10009665398

Ranking of VaR and ES models : performance in developed and emerging markets

Žikovi´c, Saša; Filer, Randall Keith - In: Finance a úvěr 63 (2013) 4, pp. 327-359

Persistent link: https://www.econbiz.de/10010244885

Dependence structure and risk measure

Ané, Thierry; Kharoubi, Cécile - In: The journal of business : B 76 (2003) 3, pp. 411-438

Persistent link: https://www.econbiz.de/10001826337

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - In: Yapı Kredı economic review : quarterly publ. of … 10 (1999) 2, pp. 3-29

Persistent link: https://www.econbiz.de/10001505110

Mean reversion across national stock markets and parametric contrarian investment strategies

Balvers, Ronald J.; Wu, Yangru; Gilliland, Erik - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 745-772

Persistent link: https://www.econbiz.de/10001497286

Effets volumes, volatilité et transmissions internationales sur les marchés boursiers dans le G5

Avouyi-Dovi, Sanvi; Jondeau, Eric; Lai-Tong, Charles - 1996

Persistent link: https://www.econbiz.de/10000949564

Behavioralize this! : International evidence on autocorrelation patterns of stock index and features return

Ahn, Dong-Hyun; Boudoukh, Jacob; Richardson, Matthew; … - 1999

Persistent link: https://www.econbiz.de/10001394327

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

The turn-of-the-month effect still lives : the international evidence

Kunkel, Robert A.; Compton, William S.; Beyer, Scott - In: International review of financial analysis 12 (2003) 2, pp. 207-221

Persistent link: https://www.econbiz.de/10001769985

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