Similar Search Results

Modeling correlation risk

Sultan, Jahangir - In: Risk management : a modern perspective, (pp. 273-294). 2006

Persistent link: https://www.econbiz.de/10003271380

Information content of the Fed Fund rates

Sultan, Jahangir - In: The journal of futures markets 25 (2005) 8, pp. 753-774

Persistent link: https://www.econbiz.de/10003012125

Trade dificit announcements and exchange rate volatility : evidence from the spot and futures markets

Sultan, Jahangir - In: The journal of futures markets 14 (1994) 4, pp. 379-404

Persistent link: https://www.econbiz.de/10001169793

Options on federal funds futures and interest rate volatility

Sultan, Jahangir - In: The journal of futures markets 32 (2012) 4, pp. 330-359

Persistent link: https://www.econbiz.de/10010218777

Jump driven risk model performance in cryptocurrency market

Nekhili, Ramzi; Sultan, Jahangir - In: International Journal of Financial Studies 8 (2020) 2, pp. 1-18

This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Risk (VaR) and Expected Shortfall (ES) in...

Persistent link: https://www.econbiz.de/10013200266