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On the macroeconomic conditions of West African economies to external uncertainty shocks

Frimpong, Siaw - In: Risks : open access journal 10 (2022) 7, pp. 1-27

This study provides a detailed investigation of the time-frequency and frequency-domain analysis of the interconnectedness of country-level macroeconomic variables. Hence, the wavelet techniques-vector wavelet and wavelet multiple-employed with TVP-VAR are utilised as a robustness check. The...

Persistent link: https://www.econbiz.de/10013364874

Commodity prices after COVID-19 : persistence and time trends

Monge González, Manuel; Lazcano, Ana - In: Risks : open access journal 10 (2022) 6, pp. 1-20

Since December 2019 we have been living with the virus known as SARS-CoV-2, a situation which has led to health policies being given prevalence over economic ones and has caused a paralysis in the demand for raw materials for several months due to the number confinements put in place around the...

Persistent link: https://www.econbiz.de/10013363006

Volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 crisis

Beraich, Mohamed; El Main, Salah Eddin - In: Risks : open access journal 10 (2022) 6, pp. 1-20

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 pandemic crisis using the DY model. Specifically, this study assesses the impact of the recent COVID-19 outbreak on the transmission of volatility among...

Persistent link: https://www.econbiz.de/10013363027

Bivariate copulas based on counter-monotonic shock method

El Ktaibi, Farid; Bentoumi, Rachid; Sottocornola, Nicola; … - In: Risks : open access journal 10 (2022) 11, pp. 1-20

-monotonic shock method. The resulting copula covers the full range of negative dependence induced by one parameter. Expressions for …

Persistent link: https://www.econbiz.de/10013556869

The effects of disaggregate oil shocks on the aggregate expected skewness of the United States

Sheng, Xin; Gupta, Rangan; Ji, Qiang - In: Risks : open access journal 11 (2023) 11, pp. 1-9

We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables...

Persistent link: https://www.econbiz.de/10014435601

Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Robben, Jens; Antonio, Katrien; Devriendt, Sander - In: Risks : open access journal 10 (2022) 2, pp. 1-33

the death counts and exposures registered in age buckets to individual ages. To evaluate the impact of a pandemic shock …

Persistent link: https://www.econbiz.de/10012805929

Impact of macroeconomic shocks on financial performance and risk management : a case study of LPP SA during the COVID-19 pandemic and the Ukraine war

Sokołowska, Ewelina; Chmielewski, Mariusz; … - In: Risks : open access journal 12 (2024) 12, pp. 1-23

coefficient of variation to assess changes in financial volatility and evaluates the effectiveness of LPP SA's risk management … are relevant for risk management practices in the apparel industry and other consumer-driven sectors. …

Persistent link: https://www.econbiz.de/10015327724

Equity price dynamics under shocks : in distress or short squeeze

Hui, Cho H.; Lo, Chi-Fai; Liu, Chi-Hei - In: Risks : open access journal 12 (2024) 1, pp. 1-19

-boundedness of the process at the boundary can thus provide an indicator of the possible risk of equities under price shocks or in …

Persistent link: https://www.econbiz.de/10014480888

Adding shocks to a prospective mortality model

Planchet, Frédéric; Plaine, Guillaume Gautier de la - In: Risks : open access journal 12 (2024) 3, pp. 1-18

This work proposes a simple model to take into account the annual volatility of the mortality level observed on the scale of a country like France in the construction of prospective mortality tables. By assigning a frailty factor to a basic hazard function, we generalise the Lee-Carter model....

Persistent link: https://www.econbiz.de/10014497411

The Dynamic connectedness between risk and return in the fintech market of India : evidence using the GARCH-M approach

Bhatnagar, Mukul; Özen, Ercan; Taneja, Sanjay; Grima, Simon - In: Risks : open access journal 10 (2022) 11, pp. 1-16

opportunities while also introducing new risks. The aim of this study is to investigate the relationship between risk and return in … any dynamic link between risk and return in the Indian fintech market. The variance-based Mean-GARCH (GARCH-M) model was … used to determine whether there is a dynamic link between risk and return in the Indian fintech market. The findings …

Persistent link: https://www.econbiz.de/10014225995