Similar Search Results

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

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - In: Applied economics 53 (2021) 55, pp. 6376-6397

Persistent link: https://www.econbiz.de/10012697913

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

Persistent link: https://www.econbiz.de/10012317084

Modeling asset market volatility in a small market : accounting for non-synchronous trading effects

Lange, Stephen - In: Journal of international financial markets, … 9 (1999) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10001402112

Three essays in international finance and financial economics

Hu, Xiaoqiang - 1994

Persistent link: https://www.econbiz.de/10000916084

Global and country-specific business cycle risk in time-vaying excess returns on asset markets

Nitschka, Thomas - 2012

Persistent link: https://www.econbiz.de/10009674033

Are idiosyncratic volatility and MAX priced in the Canadian market?

Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011662897

The determinants of bank's stock volatility

Topaloğlu, Emre Esat; Sakur, Reşat; Yaman, Serdar - In: Evoluation of money, banking and financial crisis : …, (pp. 323-338). 2020

Persistent link: https://www.econbiz.de/10012802552

Diversification and risk in banking : evidence from ex post returns

MacAllister, Patrick H.; McManus, Douglas A. - 1992

Persistent link: https://www.econbiz.de/10000962419

International Spillover of Risk and Return Among Major Banking Institutions : A Bivariate GARCH Model

Elyasiani, Elyas - 2016

exchange rate, and investigates the spillover effects of interest rate volatility and unsystematic risk among the banking … impact at the volatility level. Moreover, stock volatilities in the banking sectors of the three countries are found to be … highly interdependent. The direction and magnitude of the effects from interest rate volatility and unsystematic shocks in …

Persistent link: https://www.econbiz.de/10013006326