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Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement

Quell, Peter - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 43-52

Persistent link: https://www.econbiz.de/10014489153

Market risk, interest rate risk, and interdependencies in insurer stock returns : a system-GARCH model

Carson, James M.; Elyasiani, Elyas; Mansur, Iqbal - In: The journal of risk and insurance : the journal of the … 75 (2008) 4, pp. 873-891

Persistent link: https://www.econbiz.de/10003790355

Variation in stock return risks : an international comparison

Chiou, Wan-jiun Paul; Lee, Alice C.; Lee, Cheng F. - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 245-266

Persistent link: https://www.econbiz.de/10003871586

Market risk and investment performance of equity mutual funds in India : some empirical evidences

Sondhi, H. J.; Jain, Pramod Kumar - In: Finance India : the quarterly journal of Indian … 24 (2010) 2, pp. 443-464

Persistent link: https://www.econbiz.de/10008840485

Value relevance of value-at-risk disclosure

Lim, Chee Yeow; Tan, Patricia Mui-siang - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 353-370

Persistent link: https://www.econbiz.de/10003600293

Importance of style diversification for equity country selection

Desrosiers, Stéphanie; L'Her, Jean-François; Plante, … - In: The journal of asset management 8 (2007/08) 3, pp. 188-199

Persistent link: https://www.econbiz.de/10003543587

Implications of keeping-up-with-the-Joneses behavior for the equilibrium cross section of stock returns : international evidence

Gómez, Juan-Pedro; Priestley, Richard; Zapatero, Fernando - In: The journal of finance : the journal of the American … 64 (2009) 6, pp. 2703-2737

Persistent link: https://www.econbiz.de/10003926423

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10009310942

Risk-return relationship reinvestigated

Garg, Vidisha; Vasishth, Vibhuti - In: Research bulletin / The Institute of Cost Accountants … 39 (2014), pp. 208-215

Persistent link: https://www.econbiz.de/10011420287

A quantile analysis of default risk for speculative and emerging companies

Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011

Persistent link: https://www.econbiz.de/10009410475