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Special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management

Fabozzi, Frank J. (ed.); Karagozoglu, Ahmet K (ed.) - 2021

Persistent link: https://www.econbiz.de/10012613482

Changes in the span of systematic risk exposures

Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847

We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...

Persistent link: https://www.econbiz.de/10015053883

Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices

Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - In: Econometric reviews 43 (2024) 8, pp. 638-670

Persistent link: https://www.econbiz.de/10015050635

Monetary policy in emerging markets under global uncertainty

Hernández, Juan R.; Hoyos, Mateo; … - 2024

Persistent link: https://www.econbiz.de/10015050697

Sentiment and energy price volatility : a nonlinear high frequency analysis

Jawadi, Fredj; Bourghelle, David; Rozin, Philippe; … - In: Energy economics 133 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015048288

Fertility and the oil curse

Kim, Dong-Hyeon; Lin, Shu-Chin - In: Empirical economics : a quarterly journal of the … 67 (2024) 2, pp. 381-416

Persistent link: https://www.econbiz.de/10015048751

Do CFA charterholders make better hedge fund managers?

Zheng, Yao; Osmer, Eric - 2024

Persistent link: https://www.econbiz.de/10015047709

Comparisons between the Markowitz model and the Black-Litterman model

Teng, Huei-Wen - 2024

Persistent link: https://www.econbiz.de/10015047743

Global liquidity and commodity prices uncertainty using SFAVEC model

Kyei-Mensah, Justice - In: Research in globalization 8 (2024), pp. 1-17

attributed to commodity price volatility in developed and developing countries, with the uncertainty effect being more …

Persistent link: https://www.econbiz.de/10015047800

Global oil price and stock markets in oil exporting and European countries : evidence during the Covid-19 and the Russia-Ukraine war

Olayungbo, David Oluseun; Župarova, A. S.; Al-Faryan, … - In: Research in globalization 8 (2024), pp. 1-14

-Ukraine war period. As regards the volatility spillover, significant spillover is found from stock to oil market for Nigeria, vice … versa for Saudi Arabia and bi-directional volatility spillover found for the US, Italy and Germany during the COVID-19 … respectively while US, Italy and Germany should adopt policy coordination to stabilize oil-stock market volatility during low oil …

Persistent link: https://www.econbiz.de/10015047816