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Awareness of Crash Risk Improves Kelly Strategies in Simulated Financial Time Series

Gerlach, J-C - 2020

We simulate a simplified version of the price process including bubbles and crashes proposed in Kreuser and Sornette (2018). The price process is defined as a geometric random walk combined with jumps modelled by separate, discrete distributions associated with positive (and negative) bubbles....

Persistent link: https://www.econbiz.de/10012836362

International Volatility Risk and Chinese Stock Return Predictability

Chen, Jian - 2017

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …

Persistent link: https://www.econbiz.de/10012972144

The use of risk and return for testing the stability of stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 2, pp. 182-192

Persistent link: https://www.econbiz.de/10010401352

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Defining Activeness : Active Share, Risk Share & Factor Share

Flint, Emlyn James - 2018

This paper tackles a core question of portfolio management: How ‘active' is an active portfolio? To answer this question holistically, we generalise the idea of Active Share by keeping the same calculation methodology but substituting in different types of portfolio and benchmark ‘weights'....

Persistent link: https://www.econbiz.de/10012931742

A Data-Driven Framework for Consistent Financial Valuation and Risk Measurement

Cui, Zhenyu - 2020

In this paper, we propose a general data-driven framework that unifies the valuation and risk measurement of financial derivatives, which is especially useful in markets with thinly-traded derivatives. We first extract the empirical characteristic function from market-observable time series for...

Persistent link: https://www.econbiz.de/10012829170