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Nonparametric forward-looking value-at-risk

Nossman, Marcus; Vilhelmsson, Anders - In: Journal of risk 16 (2013/2014) 4, pp. 103-123

Persistent link: https://www.econbiz.de/10013262928

First to react is the last to forgive : evidence from the stock market impact of COVID 19

Hassan, Sherif Maher; Gavilanes, John M. Riveros - In: Journal of risk and financial management : JRFM 14 (2021) 1/26, pp. 1-25

The COVID 19 pandemic has had wide-ranging and severe effects on global economies. Stock markets as usual were the first to react, with drop rates as much as the global financial crises of 2008. This study uses daily data to model the dynamic impact of the COVID 19 pandemic on the first affected...

Persistent link: https://www.econbiz.de/10012417079

Shocks from the sub-prime crisis to bond indices in the U.S., the EU and emerging markets via CDS indices

Fang, Hao; Shen, Chung-hua; Yau, Hwey-Yun; Chung, Chien-Ping - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 5-24

Persistent link: https://www.econbiz.de/10012420426

NetVIX - a network volatility index of financial markets

Ahelegbey, Daniel Felix; Giudici, Paolo - 2020

Persistent link: https://www.econbiz.de/10012321932

Interactions and three significant international events of the Pacific basin stock markets : is U.S. stock market still a trail blazer?

Hsu, Ai-chi; Yang, Shih-jui; Shih, Ta-li; Yang, Jack J. W. - In: Investment management and financial innovations 8 (2011) 2, pp. 66-77

Persistent link: https://www.econbiz.de/10009422217

Performance of socially responsible stocks portfolios : the impact of global financial crisis

Tripathi, Vanita; Bhandari, Varun - In: Journal of economics and business research 22 (2016) 1, pp. 42-68

Persistent link: https://www.econbiz.de/10011572539

Lost in contagion? : building a liquidation index from covariance dynamics

Wagalath, Lakshithe - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10011686776

The impact of the financial crisis on the long-range memory of European corporate bond and stock markets

Martínez, Lisana B.; Guercio, M. Belén; Bariviera, … - In: Empirica : journal of european economics 45 (2018) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10011965783

A financial conditions index for the CEE economies

Auer, Simone - 2017

Persistent link: https://www.econbiz.de/10011944983

The dynamic dependence between stock markets in the greater China economic area : a study based on extreme values and copulas

Hussain, Saiful Izzuan; Li, Steven - In: Financial markets and portfolio management 32 (2018) 2, pp. 207-233

Persistent link: https://www.econbiz.de/10011951950