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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management

So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10013441642

Extreme co-movements between infectious disease events and crude oil futures prices : from extreme value analysis perspective

Lin, Hang; Zhang, Zhengjun - In: Energy economics 110 (2022), pp. 1-14

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Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis

Afuecheta, Emmanuel; Okorie, Idika E.; Nadarajah, Saralees - In: Computational economics 63 (2024) 1, pp. 271-304

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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321

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Market risks that change US-European equity correlations

Sarwar, Ghulam - In: Journal of international financial markets, … 83 (2023), pp. 1-14

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Did option prices predict the ERM crises?

Mizrach, Bruce Marshall - 1996

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …

Persistent link: https://www.econbiz.de/10011577049

Target zones and conditional volatility : an ARCH application to the EMS

Neely, Christopher J. - 1993

Persistent link: https://www.econbiz.de/10000897484

The volatility impact of the European monetary system on member and non-member currencies

Hu, Michael Y.; Jiang, Christine X.; Tsoukalas, Christos - In: Applied financial economics 14 (2004) 5, pp. 313-325

Persistent link: https://www.econbiz.de/10001939388

Interest rate volatility regimes and exchange rate behavior in a target zone

Avesani, Renzo G.; Gallo, Giampiero M. - 1999

Persistent link: https://www.econbiz.de/10001441355