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Managing portfolio risk during crisis times : a dynamic conditional correlation perspective

Zhang, Hanyu; Dufour, Alfonso - In: The quarterly review of economics and finance 94 (2024), pp. 241-251

Persistent link: https://www.econbiz.de/10014494675

Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...

Crousillat, Cesar - 2017

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …

Persistent link: https://www.econbiz.de/10012962743

On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations

Chen, Cathy W. S.; Than-Thi, Hong; Asai, Manabu - In: Computational economics 58 (2021) 2, pp. 413-433

Persistent link: https://www.econbiz.de/10012615031

Comparing multivariate volatility forecasts by direct and indirect approaches

Amendola, Alessandra; Candila, Vincenzo - In: Journal of risk 19 (2017) 6, pp. 33-57

Persistent link: https://www.econbiz.de/10011799128

Measuring the diversification of a loan portfolio

Tourin, Agnès - In: International journal of bonds and derivatives 4 (2020) 2, pp. 104-113

Persistent link: https://www.econbiz.de/10012505156

Hierarchy, cluster, and time-stable information structure of correlations between international financial markets

Cai, Yumei; Cui, Xiaomei; Huang, Qianyun; Sun, Jianqiang - In: International review of economics & finance : IREF 51 (2017), pp. 562-573

Persistent link: https://www.econbiz.de/10011754669

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839