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Aboura, Sofiane - Université Paris-Dauphine

The study of tail events has become a central preoccupation for academics, investors and policy makers, given the recent ﬁnancial turmoil. However, what differentiates a crash from a tail event? This article answers this question by taking a risk management perspective that is based on an...

Persistent link: https://www.econbiz.de/10008690921

Exchange traded currency derivatives markets in India: the road ahead

Chakravarty, Ranjan; Praveen, D. G. - In: Macroeconomics and Finance in Emerging Market Economies 3 (2010) 1, pp. 139-146

increased exchange rate volatility of Indian exchange rate against US dollar (INRUSD) during conventional and non conventional …

Persistent link: https://www.econbiz.de/10008691414

Commodity Price Volatility: The Impact of Commodity Index Traders

Getu, Hailu; Weersink, Alfons - Canadian Agricultural Trade Policy Research Network (CATPRN) - 2010

Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of...

Persistent link: https://www.econbiz.de/10008693730

What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

Wolff, Rodney C; Robertson, C.S.; Geva, S. - School of Economics and Finance, Business School - 2006

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...

Persistent link: https://www.econbiz.de/10008694528

Does Company Specific News Effect the US, UK, and Australian Markets within 60 minutes?

Wolff, Rodney C; Robertson, C.S.; Geva, S. - School of Economics and Finance, Business School - 2006

The efficient market hypothesis states that an efficient market rapidly incorporates all available information into the price of the asset. It has been well established that no market, particularly the stock market, is truly efficient as there are too many traders with differing strategies, and...

Persistent link: https://www.econbiz.de/10008694536

Has Stock Markets' Reaction to Terrorist Attacks Changed throughout Time?: Comparative Evidence from a Large and a Small Capitalisation Market

Kollias, Christos; Manou, Efthalia; Papadamou, Stephanos; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010

investigation. Results from event study methodology as well as from conditional volatility models used here do no seem to point to …

Persistent link: https://www.econbiz.de/10008694990

Internal and external drivers for risk taking in UK and German insurance markets

Eling, Martin; Marek, Sebastian D. - In: International Journal of Banking, Accounting and Finance 4 (2012) 1, pp. 48-76

, compensation, and board independence. We also document increases in the volatility of insurance stock returns during the financial …

Persistent link: https://www.econbiz.de/10010668776

Value-at-risk for the long and short trading position with the Pearson type-IV distribution

Stavroyiannis, Stavros; Makris, Ilias; Nikolaidis, Vasilis - In: Global Business and Economics Review 15 (2013) 1, pp. 14-27

We examine the value-at-risk where the volatility and returns are modelled via a typical GARCH(1,1) model and the …

Persistent link: https://www.econbiz.de/10010668975

Greek exchange rate behaviour following German and US monetary policy shifts

Laopodis, Nikiforos T. - In: Global Business and Economics Review 4 (2002) 2, pp. 325-345

The paper examines the stochastic behaviour and the volatility patterns of the Greek drachma against the German mark …

Persistent link: https://www.econbiz.de/10010668981

Measuring and modelling risk

Allen, David E. - In: Global Business and Economics Review 11 (2009) 3/4, pp. 199-224

economics and its accompanying limitations; the various approaches in financial econometrics to modelling volatility (ARCH …, GARCH, stochastic volatility, realised volatility and attempts to capture 'tail risk'); the measurement of risk implicit in … applications of option pricing models and implied volatility (in particular the VIX index); the Basel Agreements and convention of …

Persistent link: https://www.econbiz.de/10010669053