Narrow search
Showing 1 - 10 of 476,033
Cover Image
Early warning signs of financial market turmoils
Bertschinger, Nils; Pfante, Oliver - In: Journal of risk and financial management : JRFM 13 (2020) 12/301, pp. 1-24
Volatility clustering and fat tails are prominently observed in financial markets. Here, we analyze the underlying … volatility. Second, we introduce three different indicators to predict those onsets. Each of the three indicators is derived from …, yet, over very short time horizons high or rising volatility exhibits some predictive power. …
Persistent link: https://www.econbiz.de/10012392414
Cover Image
Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008
Bask, Mikael; Widerberg, Anna - 2010
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
Cover Image
A study of US stock market volatility, fall 2008
Christner, Ron - In: Journal of business & economics research 7 (2009) 11, pp. 95-102
Persistent link: https://www.econbiz.de/10003912700
Cover Image
Understanding bank risk through market measures
Sarin, Natasha; Summers, Lawrence Henry - In: Brookings papers on economic activity : BPEA (2016) 2, pp. 57-109
Persistent link: https://www.econbiz.de/10011687880
Cover Image
Influence of social media over the stock market
Piñeiro Chousa, Juan Ramón; Vizcaíno-González, Marcos; … - In: Psychology & marketing 34 (2017) 1, pp. 101-108
Persistent link: https://www.econbiz.de/10011637218
Cover Image
On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
2007-2008. -- Risk measurement ; risk management ; portfolio allocation ; market risk ; credit risk ; systemic risk ; asset …
Persistent link: https://www.econbiz.de/10009310942
Cover Image
A look back at the 2008 financial crisis : the disconnect between credit and market risks
Obi, Pat; Choi, Jeong-gil; Sil, Shomir - In: Finance a úvěr 60 (2010) 5, pp. 400-413
Persistent link: https://www.econbiz.de/10009009407
Cover Image
Understanding Bank Risk Through Market Measures
Sarin, Natasha - 2018
stock price volatility, option-based estimates of future volatility, beta, credit default swaps, price — earnings ratios … of financial theory. Measures of volatility and risk premiums today are no lower and perhaps somewhat higher than they …
Persistent link: https://www.econbiz.de/10012913028
Cover Image
Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach
Wang, Ze; Gao, Xiangyun; Huang, Shupei; Sun, Qingru; … - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472796
Cover Image
Current volatility as a measure of market risk
Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349
Persistent link: https://www.econbiz.de/10011859119