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Asset allocation and value at risk in shipping equity portfolios

Syriopoulos, Theodore; Roumpis, Efthimios - In: Maritime policy and management : MPM 36 (2009) 1, pp. 57-78

Persistent link: https://www.econbiz.de/10003849023

Anmerkungen zur Mittelungsproblematik historischer Marktrisikoprämien

Knoll, Leonhard - In: Unternehmensbewertung : theoretische Grundlagen - …, (pp. 325-343). 2010

Persistent link: https://www.econbiz.de/10009127499

Assessing market risk of Indian index funds

Biswas, Suparna; Dutta, Santanu - In: Global business review 16 (2015) 3, pp. 511-523

Persistent link: https://www.econbiz.de/10011409306

Credit, liquidity and market risks on financial performance : evidence from rural banks in Ghana

Saeed, Musah Mohammed; Hollack, Obeng - In: International journal of accounting and finance 11 (2023) 4, pp. 285-304

Persistent link: https://www.econbiz.de/10014545171

Comparing market risk of indian balanced, small and mid cap and large cap funds

Biswas, Suparna; Dutta, Santanu - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 603-620

Persistent link: https://www.econbiz.de/10013475253

Asymmetric reactions of China's stock market to short-term interest rates

Fang, Fang; Dong, Weijia; Lv, Xin - In: International journal of economics and finance 8 (2016) 5, pp. 260-270

Persistent link: https://www.econbiz.de/10011487610

A comparison of machine learning methods for predicting stock returns in the US market

Muzzioli, Silvia; Campisi, Giovanni; De Baets, Bernard - 2021

Persistent link: https://www.econbiz.de/10013258722

Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?

Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645

Persistent link: https://www.econbiz.de/10012415313

Quantile methods for financial risk management

Schaumburg, Julia - 2013

This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During...

Persistent link: https://www.econbiz.de/10009783478

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139