Similar Search Results

Value at risk models for volatile emerging markets equity portfolios

Dimitrakopoulos, Dimitris N.; Kavussanos, Manolis G.; … - In: The Quarterly Review of Economics and Finance 50 (2010) 4, pp. 515-526

This paper investigates the issue of market risk quantification for emerging and developed market equity portfolios. A very wide spectrum of popular and widely used in practice Value at Risk (VaR) models are evaluated and compared with Extreme Value Theory (EVT) and adaptive filtered models,...

Persistent link: https://www.econbiz.de/10008872534

Market risk model selection and medium-term risk with limited data : application to ocean tanker freight markets

Kavussanos, Manolis G.; Dimitrakopoulos, Dimitris N. - In: International review of financial analysis 20 (2011) 5, pp. 258-268

Persistent link: https://www.econbiz.de/10009492114

Value at risk models for volatile emerging markets equity portfolios

Dimitrakopoulos, Dimitris N.; Kavussanos, Manolis G.; … - In: The quarterly review of economics and finance : journal … 50 (2010) 4, pp. 515-526

Persistent link: https://www.econbiz.de/10009248539

Economic spillovers between related derivatives markets : the case of commodity and freight markets

Kavussanos, Manolis G.; Visvikis, Ilias D.; … - In: Transportation research / E : an international journal 68 (2014), pp. 79-102

Persistent link: https://www.econbiz.de/10010404535

Value at risk models for volatile emerging markets equity portfolios

Dimitrakopoulos, Dimitris N.; Kavussanos, Manolis G.; … - In: The quarterly review of economics and finance : journal … 50 (2010) 4, pp. 515-527

Persistent link: https://www.econbiz.de/10008705540

Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets

Kavussanos, Manolis G.; Dimitrakopoulos, Dimitris N. - In: International review of financial analysis 20 (2011) 5, pp. 258-269

Persistent link: https://www.econbiz.de/10009804521

Time varying risks among segments of the tanker freight markets

Kavussanos, Manolis G. - In: Maritime economics & logistics : a quarterly scientific … 5 (2003) 3, pp. 227-250

Persistent link: https://www.econbiz.de/10001805257

Price discovery, causality and forecasting in the freight futures market

Kavussanos, Manolis G.; Nomikos, Nikos K. - In: Review of derivatives research 6 (2003) 3, pp. 203-230

Persistent link: https://www.econbiz.de/10001905301

Business risk measurement and management in the cargo carrying sector of the shipping industry

Kavussanos, Manolis G. - In: The handbook of maritime economics and business, (pp. 661-692). 2006

Persistent link: https://www.econbiz.de/10003576469

The Lead-Lag Relationship Between Cash and Stock Index Futures in a New Market

Kavussanos, Manolis G.; Visvikis, Ilias D.; Alexakis, … - In: European Financial Management 14 (2008) 5, pp. 1007-1025

"This paper investigates the lead-lag relationship in daily returns and volatilities between price movements of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures and the underlying cash indices in the relatively new futures market of Greece. Empirical results show that there is a...

Persistent link: https://www.econbiz.de/10005309534