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Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

can be used in risk measurement and forecasting. Value at risk (VaR) is a widely used measure of financial risk, which … timelines were used to carry out stressed value at risks, and it was seen that during periods of crisis, the volatility of asset … returns was higher. The other steps that followed examined the relationship of the variables, correlation tests and time …

Persistent link: https://www.econbiz.de/10012795821

High-frequency factor models and regressions

Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105

Persistent link: https://www.econbiz.de/10012439640

Forecasting high-dimensional realized volatility matrices using a factor model

Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887

Persistent link: https://www.econbiz.de/10012295649

Variance risk : a bird's eye view

Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535

Persistent link: https://www.econbiz.de/10012439498

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

Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange

Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289

Persistent link: https://www.econbiz.de/10012205614

Measuring systemic risk with high-frequency data : a realized GARCH approach

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472723

Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital

Cevik, Emrah Ismail; Kenç, Turalay; Goodell, John W.; … - In: International review of economics & finance : IREF 97 (2025), pp. 1-23

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Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Pricing the correlation skew with normal mean-variance mixture copulas

Luján Fernández, Ignacio - In: The journal of computational finance 26 (2022) 2, pp. 83-99

Persistent link: https://www.econbiz.de/10013549659