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To jump or not to jump : momentum of jumps in crude oil price volatility prediction

Zhang, Yaojie; Wang, Yudong; Ma, Feng; Wei, Yu - In: Financial innovation : FIN 8 (2022), pp. 1-31

A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...

Persistent link: https://www.econbiz.de/10013272635

International crash risk premium

Chen, Steven Shu-Hsiu - In: Journal of international financial markets, … 94 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015063171

Lassen sich Ertragsrisiken in der Landwirtschaft Global diversifizieren?

Liu, Xiaoliang; Xu, Wei; Odening, Martin - In: Möglichkeiten und Grenzen der wissenschaftlichen …, (pp. 245-258). 2011

Persistent link: https://www.econbiz.de/10009510432

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 229-244

Persistent link: https://www.econbiz.de/10009517641

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael (contributor); … - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …

Persistent link: https://www.econbiz.de/10003477096