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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

Does risk culture affect banks' volatility? : the case of the G-SIBs

Coluccia, Daniela; Fontana, Stefano; Graziano, Elvira Anna - In: Corporate ownership & control : international … 15 (2017/2018) 1, pp. 33-43

Persistent link: https://www.econbiz.de/10011892948

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

Persistent link: https://www.econbiz.de/10012158736

Model risk in risk models : quantifying statistical uncertainty in active risk

Khang, Kevin - In: The journal of portfolio management : JPM 47 (2021) 3, pp. 51-65

Persistent link: https://www.econbiz.de/10012423057

Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011868092

Are value at risk and maximum drawdown different from volatility in stock market?

Kim, Soo-Hyun - In: The journal of applied business research 34 (2018) 2, pp. 217-222

Persistent link: https://www.econbiz.de/10011868772

Financial volatility modeling with option-implied information and important macro-factors

Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149

Persistent link: https://www.econbiz.de/10013532426

Asymptotic dependence modelling of the BRICS stock markets

Sigauke, Caston; Mukhodobwane, Rosinah; Chagwiza, Wilbert; … - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-32

With the use of empirical data, this paper focuses on solving financial and investment issues involving extremal dependence of 10 pairwise combinations of the 5 BRICS (Brazil, Russia, India, China, and South Africa) stock markets. Daily closing equity indices from 5 January 2010 to 6 August 2018...

Persistent link: https://www.econbiz.de/10013368365

Policy volatility and the propensity of policies to fail : dealing with uncertainty, maliciousness and compliance in public policy-making

Howlett, Michael; Leong, Ching - In: International journal of public policy : IJPP 16 (2022) 5/6, pp. 236-252

Persistent link: https://www.econbiz.de/10014228041

Trends in the management of policy volatility : managing internal policy risk in three OECD countries

Howlett, Michael; Leong, Ching; Sahu, Sonam - In: International journal of public policy : IJPP 16 (2022) 5/6, pp. 345-361

Persistent link: https://www.econbiz.de/10014228090