Zobrazeno 1 - 10
of 2 354
pro vyhledávání: '"tail risk"'
Publikováno v:
Journal of Islamic Monetary Economics and Finance, Vol 10, Iss 3, Pp 551-586 (2024)
This study investigates the changes and persistence in dynamic connectedness between stock market performance and exchange rate fluctuations, comparing conventional and Islamic financial systems. With an eye on a global financial landscape characteri
Externí odkaz:
https://doaj.org/article/d59eba889d914567bd358ea24ae07e90
Autor:
Boubekeur Baba
Publikováno v:
Future Business Journal, Vol 10, Iss 1, Pp 1-20 (2024)
Abstract The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we addres
Externí odkaz:
https://doaj.org/article/4a2b02dabb214869be462af00e6a8bb5
Publikováno v:
International Studies of Economics, Vol 19, Iss 2, Pp 186-222 (2024)
Abstract In this study, we investigate the tail dependency between bank stocks in China and 35 common risk factors. We measure univariate and multivariate conditional tail risk probabilities. The evidence indicates that tail events from risk factors
Externí odkaz:
https://doaj.org/article/64dd513f155041fa9da42ce2b2a09b9c
Akademický článek
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Autor:
Aktham Maghyereh, Salem Adel Ziadat
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-34 (2024)
Abstract The main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which investor sentiment, economic conditions, and economic uncertainty can predict tail risk inter
Externí odkaz:
https://doaj.org/article/b54d50c385174a659a30c7db1ce46f74
Autor:
Gobbi, Fabio, Mulinacci, Sabrina
Publikováno v:
Studies in Economics and Finance, 2023, Vol. 40, Issue 5, pp. 839-858.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/SEF-11-2022-0542
Publikováno v:
2023, Vol. 31, Issue 4, pp. 309-327.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JDQS-04-2023-0008
Autor:
Zynobia Barson, Peterson Owusu Junior
Publikováno v:
Research in Globalization, Vol 8, Iss , Pp 100229- (2024)
We present tail risk analysis of cryptocurrencies (Bitcoin, Ethereum and Litecoin), non-fungible tokens, stocks (FTSE 100 and S&P 500) and Gold from November 12, 2017 to March 31, 2022 using conditional model-based Value-at-Risk (VaR). We explored wh
Externí odkaz:
https://doaj.org/article/ed556c127ffc42e1aa501a1870080a2c
Autor:
Xing, Zeyu, Ibragimov, Rustam
Publikováno v:
Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications
Publikováno v:
Seonmul yeongu, Vol 31, Iss 4, Pp 309-327 (2023)
– The authors examined whether stocks with higher left-tail risk measures earn higher or lower futures returns. Specifically, the authors estimate the cross-sectional principal component of a battery of left-tail risk measures and analyze future re
Externí odkaz:
https://doaj.org/article/ed7389a1e4c14a55b7687f7a67957948