We examine whether sensitivities to cash flow (CF) and discount rate (DR) risk in down markets provide an explanation … how productivity and financing constraints asymmetrically impact the systematic risk of low-investment and high …

This study examined how uncertainty and global risk affect financial markets in emerging economies, focusing on foreign … structural vector autoregression (VAR) models, the research found that increases in Economic Policy Uncertainty (EPU …, global risk, and market instability, offering insights for managing risks in opaque markets and improving financial stability. …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …