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Puzzling premiums on FX markets : carry trade, momentum, and value alone and strategy diversification

Mikova, Evgeniya; Teplova, Tamara V.; Munir, Qaiser - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 1, pp. 126-148

Persistent link: https://www.econbiz.de/10012211227

Portfolio effects of VIX futures index

Ratner, Mitchell; Chiu, Chih-Chieh - In: Quantitative finance and economics 1 (2017) 3, pp. 288-299

Persistent link: https://www.econbiz.de/10012137805

Volatility as an alternative asset class : does it

Caloiero, Elvira; Guidolin, Massimo - In: Quantitative finance and economics 1 (2017) 4, pp. 334-362

Persistent link: https://www.econbiz.de/10012137825

Exchange rate volatility and foreign portfolio investment in Nigeria

Ogundipe, Adeyemi A.; Alabi, Joys; Asaleye, Abiola John; … - In: Investment management and financial innovations 16 (2019) 3, pp. 241-250

Persistent link: https://www.econbiz.de/10012159380

Hull-White's value at risk model : case study of Baltic equities market

Radivojević, Nikola; Ćurčić, Nikola V.; … - In: Journal of business economics and management 18 (2017) 5, pp. 1023-1041

Persistent link: https://www.econbiz.de/10011781020

Three essays on volatility forecasting and forecast evaluation

Kleen, Onno - 2020

Persistent link: https://www.econbiz.de/10012436127

Pro-cyclicality of risk measurements - empirical quantification and theoretical confirmation

Bräutigam, Marcel - 2020

Persistent link: https://www.econbiz.de/10012488824

Inflation and risky investments

Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...

Persistent link: https://www.econbiz.de/10012403996

Risk-return profiles of Islamic equities and commodity portfolios in different market conditions

Kabir, Sarkar Humayun; Masih, Abdul Mansur M.; … - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1477-1500

Persistent link: https://www.econbiz.de/10011823800

Output value risk for commodity producers : the uncertain benefits of diversification

Merener, Nicolas; Steglich, Maria Eugenia - In: World development : the multi-disciplinary … 101 (2018), pp. 322-333

Persistent link: https://www.econbiz.de/10011976114