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Are agribusiness stocks an investor safe haven?
D'Antoni, Jeremy M.; Detre, Joshua Dean - In: Agricultural finance review 74 (2014) 4, pp. 522-538
Persistent link: https://www.econbiz.de/10011305888
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Are agribusiness stocks an investor safe haven?
D'Antoni, Jeremy M; Detre, Joshua Deam - In: Agricultural Finance Review 74 (2014), pp. 522-538
obtained from the copula estimated dependence measures and Value at Risk (VaR) allows to examine the diversification benefits … that the addition of agribusiness stocks to a portfolio are able to provide significant diversification benefits to a … diversification in their portfolio, may find it unattractive from a both a risk management and profit maximizing perspective. However …
Persistent link: https://www.econbiz.de/10010940874
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Geographical diversification in wheat farming : a copula-based CVaR framework
Larsen, Ryan; Leatham, David J.; Sukcharoen, Kunlapath - In: Agricultural finance review 75 (2015) 3, pp. 368-384
Persistent link: https://www.econbiz.de/10011341937
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Do Islamic indices provide diversification to bitcoin? : a time-varying copulas and value at risk application
Ur Rehman, Mobeen; Asghar, Nadia; Kang, Sang Hoon - In: Pacific-Basin finance journal 61 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012494418
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10009690403
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A systemic risk analysis of Islamic equity markets using vine copula and delta CoVaR modeling
Shahzad, Syed Jawad Hussain; Arreola-Hernandez, Jose; … - In: Journal of international financial markets, … 56 (2018), pp. 104-127
Persistent link: https://www.econbiz.de/10011990981
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Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach
Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212
Persistent link: https://www.econbiz.de/10012003526
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Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas
Boako, Gideon; Alagidede, Paul - In: Journal of multinational financial management 41 (2017), pp. 92-114
Persistent link: https://www.econbiz.de/10011927874
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Interdependence and spillovers between big oil companies and regional and global energy equity markets
Hanif, Waqas; Hernandez, Jose Arreola; Kang, Sang Hoon; … - In: International review of economics & finance : IREF 92 (2024), pp. 451-469
Persistent link: https://www.econbiz.de/10014534922