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Accuracy in risk estimation based on simple SMA and EWNA models : evidence from Macedonain Stock Market
Angelovska, Julijana; Ivanovski, Zoran - In: UTMS journal of economics / University of Tourism and … 9 (2018) 1, pp. 17-27
Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of … pricing of stocks and better risk management. The aim of this research is to test applicability of simple models like Simple … Moving Average (SMA) and Exponentially Weighted Moving Average (EWMA) to estimate risk. The performance of SMA and EWMA with …
Persistent link: https://www.econbiz.de/10011901688
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Modeling and measuring reputation risk and spillover effects
Eckert, Christian - 2016
Persistent link: https://www.econbiz.de/10011577063
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Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance
Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014
Persistent link: https://www.econbiz.de/10011632160
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Decomposition of portfolio risk into independent factors using an inductive causal search algorithm
Deaton, Brian D. - In: Journal of risk 19 (2016) 1, pp. 43-61
Persistent link: https://www.econbiz.de/10011579769
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Optimal introduction time decision for holiday products with uncertain market demand
Wang, Jiangtao; Li, Yina; Ye, Fei; Chen, Quan - In: International journal of production research 55 (2017) 1/2, pp. 161-175
Persistent link: https://www.econbiz.de/10011588139
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The value of stop-loss, stop-gain strategies in dynamic asset allocation
Shelton, Austin - In: The journal of asset management 18 (2017) 2, pp. 124-143
Persistent link: https://www.econbiz.de/10011695004
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Managing ambiguity in asset allocation
Kaya, Hakan - In: The journal of asset management 18 (2017) 3, pp. 163-187
Persistent link: https://www.econbiz.de/10011704212
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Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van; Chen Zhou - In: Journal of financial econometrics 17 (2019) 3, pp. 432–461
Persistent link: https://www.econbiz.de/10012054463
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Market risk calculation for private equity fund-of-funds
Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360
Persistent link: https://www.econbiz.de/10011980279