This paper presents a methodology to analyze the Value at Risk (VaR) backtesting probability values to detect the … risk that a subportfolio is exposed to in every trading day. The paper presets statistical methods to back test the number …-values using the run test. Finally a model is presented to decompose the subportfolios' P&L risk into systematic and idiosyncratic …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … market and exchange rate volatility, respectively. We find that the financial market volatility indices are usually … volatility index are typically more affected by EPU spillovers than the US VXO. Our results also reveal that, compared to within …

volatility. The empirical analysis is mainly conducted using a novel approach based on combining the Diebold and Yilmaz (2014 … January 2004 to May 2022, the empirical results show that the effect of EPU on the volatility of UAE stock markets is time …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

The study examines the effect of economic policy uncertainty (EPU) on nonlinear risk spillover across 24 Chinese … industry sectors over the period 2008-2022. We employ tail-event driven network method to measure nonlinear risk spillover of … inter-industry and quantile-on-quantile regression to reveal the effect of EPU on the risk spillover. We find that the …

Financial risk is largely ignored in the tourism literature where most of the research concentrates only on economic or … political factors. Hence, we examine the effect of composite country risk, which includes economic, financial and political … risks as they all play a significant role in determining inbound tourism flows. Therefore, the overall country risk that …

This paper investigates the volatility size effects for firm performance in the Taiwan tourism industry, especially the … univariate GARCH models are used to estimate the volatility in the stock indexes for large and small firms in Taiwan. Daily data … Chinese tourists to Taiwan. The empirical findings confirm that there have been important changes in the volatility size …