Measuring event risk

Autor: Mohammad Ali Kafaiee, Hadi Rahmani fazli

Publikováno v: تحقیقات مالی, Vol 16, Iss 2, Pp 345-358 (2014)

This paper measures event risk which is introducing by the ball committee to measure the effect of sudden news. This study calculates event risk by using the data of registered firms in Tehran stock market between 1993 and 1994. For computing event r

Externí odkaz: https://doaj.org/article/1ceeb03baf9a411987f4c5d3808549dd

Generalized hyperbolic distribution and portfolio efficiency in energy and stock markets of BRIC countries

Autor: Eduardo Sánchez-Ruenes, José Antonio Núñez-Mora

Publikováno v: International Journal of Financial Studies
Volume 8
Issue 4
International Journal of Financial Studies, Vol 8, Iss 66, p 66 (2020)

Oil, also called black gold, is considered as the commodity which has the greatest impact on the world&rsquo
s economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (G

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::399c9202c7286c083cdb089717fb8855
https://hdl.handle.net/10419/257733

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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Autor: Dominique Guegan, Jing Zang

Publikováno v: European Journal of Finance
European Journal of Finance, Taylor & Francis (Routledge), 2009, 15 (7-8), pp.777-795. ⟨10.1080/13518470902895344⟩

This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6ddb174288971e092bc9a0834da83cd7
https://halshs.archives-ouvertes.fr/halshs-00368336/document

Modeling the South African Mining Index with generalized hyperbolic distributions

Autor: Chinhamu, Knowledge, Huang, Chun-Kai, Hammujuddy, Jahvaid, Huang, Chun-Sung

In the valuation theory of derivative securities, as well as other topics in finance, inaccurate distributional assumptions of the underlying asset returns may lead to substantial error bias. In this paper, after investigating the classical normality

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b71dd3a5552eaadcd14a71c6b376db23