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Risk management of companies included in the EURO STOXX sustainability index: An investors' perception

Lupu, Iulia; Bobircă, Ana Barbara; Miclăuș, Paul Gabriel - In: Amfiteatru Economic Journal 22 (2020) 55, pp. 707-725

Inclusion in the European Sustainability Index is a feature of companies that are perceived as "sustainable" in general. The objective of the research in this article is to analyse the perception of investors by investigating the extent to which these companies have lower risks than their peers...

Persistent link: https://www.econbiz.de/10014461890

Risk management of companies included in the EURO STOXX sustainability index : an investors' perception

Lupu, Iulia; Bobircă, Ana Barbara; Miclăuș, Paul Gabriel - In: Amfiteatru economic : an economic and business research … 22 (2020) 55, pp. 707-725

Persistent link: https://www.econbiz.de/10012656296

Conditional Dependency of Financial Series: The Copula-GARCH Model

Jondeau, Eric; Rockinger, Michael - Swiss Finance Institute - 2002

We develop a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions. We achieve this by using copula functions that link marginal distributions, and by expressing the parameter of the copula as a function of predetermined...

Persistent link: https://www.econbiz.de/10005248406

Global uncertainty and potential shelters : gold, bitcoin, and currencies as weak and strong safe havens for main world stock markets

Feder-Sempach, Ewa; Szczepocki, Piotr; Bogołębska, Joanna - In: Financial innovation : FIN 10 (2024), pp. 1-23

This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...

Persistent link: https://www.econbiz.de/10014541628

Conditional dependency of financial series : an application of copulas

ROCKINGER, Michael; JONDEAU, Eric - HEC Paris (École des Hautes Études Commerciales) - 2001

We develop a new methodology that measures conditional dependency. We achieve this by using copula functions that link marginal distributions, here chosen to obey a GARCH-type model with time-varying skewness and kurtosis. We apply this model to daily returns of stock-market indices. We find...

Persistent link: https://www.econbiz.de/10005011635

Conditional Dependency of Financial Series: An Application of Copulas.

Rockinger, M.; Jondeau, E. - Banque de France - 2001

Persistent link: https://www.econbiz.de/10005036207

ANALYSIS OF THE BUCHAREST STOCK EXCHANGE INDICES STRUCTURE

SUDACEVSCHI, Mihaela - In: Management Intercultural (2013) 29, pp. 326-339

determinate by liquidity factor or free-float factor or other factors, so that the each index be representative for a particular …

Persistent link: https://www.econbiz.de/10010700625

Reward-to-Risk Ratios in Turkish Financial Markets

DEMİRTAS, K. Ozgur; ATILGAN, Yigit - In: Iktisat Isletme ve Finans 28 (2013) 323, pp. 9-32

This paper investigates how reward-to-risk ratios compare among various government debt security (GDS) indices and sector indices in the Istanbul Stock Exchange. Risk is measured by either standard deviation or nonparametric and parametric value at risk. We find that the GDS indices have higher...

Persistent link: https://www.econbiz.de/10010894872

Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk

Bugar, Gyöngyi; Maurer, Raimund; Vo, Huy Thanh - 2009

The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness...

Persistent link: https://www.econbiz.de/10003838424

Modelling and forecasting liquidity supply using semiparametric factor dynamics

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2009

current state of the market, we show that the recent liquidity demand has the strongest impact. In an extensive forecasting … analysis we show that the model is successful in forecasting the liquidity supply over various time horizons during a trading …. -- Limit order book ; liquidity risk ; semiparametric model ; factor structure ; prediction …

Persistent link: https://www.econbiz.de/10003881566

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