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Analysis of value at risk of Sukuk and conventional bonds in Pakistan

Nasir, Adeel; Farooq, Umar - In: Journal of Islamic accounting and business research : JIABR 8 (2017) 4, pp. 375-388

Persistent link: https://www.econbiz.de/10011815278

Abnormal Downside Tail Risk as a Predictor of Risky Bond Returns

Ahn, Jisu; Hwang, Injun; Kim, Baeho - 2022

This study finds that downside tail risk , estimated from Korean corporate bond market data, predicts the excess … predicting corporate bond returns. The return predictability of abnormal risk becomes more pronounced in the economic expansion …

Persistent link: https://www.econbiz.de/10013295157

Should investors include green bonds in their portfolios? : Evidence for the USA and Europe

Han, Yingwei; Li, Jie - In: International review of financial analysis 80 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013366150

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets … Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio …

Persistent link: https://www.econbiz.de/10013441427

Market risks that change US-European equity correlations

Sarwar, Ghulam - In: Journal of international financial markets, … 83 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014306348

Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets

Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207

Persistent link: https://www.econbiz.de/10012271374

Estimating Value at Risk and expected shortfall : a Kalman filter approach

Lecq, Max van der; Van Vuuren, Gary - In: International journal of economics and financial issues … 14 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014567063

Microinformation, nonlinear filtering and granularity

Gagliardini, Patrick; Gouriéroux, Christian; Monfort, Alain - 2010

The recursive prediction and filtering formulas of the Kalman filter are difficult to implement in nonlinear state space models. For Gaussian linear state space models, or for models with qualitative state variables, the recursive formulas of the filter require the updating of a finite number of...

Persistent link: https://www.econbiz.de/10003979516

Microinformation, nonlinear filtering, and granularity

Gagliardini, Patrick; Gouriéroux, Christian; Monfort, Alain - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 1-53

Persistent link: https://www.econbiz.de/10009519715

The dynamics of the volatility skew : a Kalman filter approach

Bedendo, Mascia; Hodges, Stewart D. - In: Journal of banking & finance 33 (2009) 6, pp. 1156-1165

Persistent link: https://www.econbiz.de/10003842010