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Idiosyncratic Risks, Bailout, and Financial Crisis : A Copula Approach

Wang, Daphne - 2013

find that both stock return volatility and idiosyncratic risks increase significantly as stock returns increase after …

Persistent link: https://www.econbiz.de/10013086564

Volatility Modeling and Forecasting for Banking Stock Returns

Murari, Krishna - 2013

In this paper, an attempt has been made to model and forecast the short term volatility of the Indian banking sector. A … 2000; a total of 3122 observations up to the period of June 2013, are used in modeling the volatility of the banking stock …-Rissanen. As per the analysis, ARIMA (1,0,2) model was found to be the best fit to forecast the volatility of bank stock returns …

Persistent link: https://www.econbiz.de/10013071650

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

Idiosyncratic risks, bailout, and financial crisis : a copula approach

Wang, Daphne; Nguyen Khoa Huu - In: Global business and finance review 20 (2015) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10011434259

Income diversification and earnings volatility : experience of the Indian banking sector

Deb, Joyeeta; Sen, Gautam - In: Praj̄nȧn : journal of social and management sciences 44 (2015) 3, pp. 207-224

Persistent link: https://www.econbiz.de/10011444601

The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies

McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113

Persistent link: https://www.econbiz.de/10011892256

Big banks, idiosyncratic volatility, and systemic risk

Fernholz, Ricardo T.; Koch, Christoffer - In: The American economic review 107 (2017) 5, pp. 603-607

Persistent link: https://www.econbiz.de/10011786211

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794

Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management

Tsuji, Chikashi - In: International review of financial analysis 70 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012318292

Risks in banks and its impact on volatility of market returns : an empirical approach

Singh, Prakash; Kumar, Sukriti - In: International journal of Indian culture and business … 17 (2018) 2, pp. 125-138

Persistent link: https://www.econbiz.de/10011960165