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Risk spillovers and portfolio management between developed and BRICS stock markets

Mensi, Walid; Hammoudeh, Shawkat; Kang, Sang Hoon - In: The North American journal of economics and finance : a … 41 (2017), pp. 133-155

Persistent link: https://www.econbiz.de/10011878945

Stock market spillovers of global risks and hedging opportunities

Salachas, Evangelos; Kouretas, Georgios P.; Laopodis, … - In: European journal of political economy 83 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014547146

Oil price risk exposure of BRIC stock markets and hedging effectiveness

Shahzad, Syed Jawad Hussain; Bouri, Elie; Ur Rehman, Mobeen - In: Financial modeling and risk management of energy and …, (pp. 145-170). 2022

Persistent link: https://www.econbiz.de/10013349933

Estimating the VAR (Value-at-Risk) of Brazilian Stock Portfolios via GARCH Family Models and via Monte Carlo Simulation

Godeiro, Lucas - 2013

The objective this work is to calculate the VaR of portfolios via GARCH family models with normal and t-student distribution and via Monte Carlo Simulation. We used three portfolios composite with preferential stocks of five Ibovespa companies. The results show that the t distribution adjusts...

Persistent link: https://www.econbiz.de/10013077849

Applying three VaR approaches in measuring market risk of stock portfolio : the case study of VN-30 stock basket in HOSE

Nguyen Quang Thinh; Vo Thi Quy - In: Journal of economic development 24 (2017) 2, pp. 90-113

Persistent link: https://www.econbiz.de/10011804846

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427

Persistent link: https://www.econbiz.de/10014232660

Dynamic global linkages of the brics stock markets with the United States and Europe under external crisis shocks : implications for portfolio risk forecasting

Hammoudeh, Shawkat; Kang, Sang Hoon; Mensi, Walid; … - In: The world economy : the leading journal on … 39 (2016) 11, pp. 1703-1727

Persistent link: https://www.econbiz.de/10011584204

Measuring value at risk on emerging stock markets : empirical evidence from Serbian stock exchange

Miletić, Mirjana; Miletić, Siniša - In: Facta Universitatis / Series economics and organization … 10 (2013) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10010458744

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

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