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Tihana ?krinjaric
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that ...
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Carl Hope Korkpoe,Nathaniel Howard
Pág. 69 - 79
We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied ? Botswana, Ghan...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Marcelo de Castro Orefice,Pedro L. Valls Pereira
Pág. 389 - 428
In this paper, we discuss the practice of portfolio pumping in Brazil. Although the topic is recurrent in other countries, few studies provide this analysis for the Brazilian case. The statistical study is elaborated in three stages: first, we considered...
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José Carlos Trejo García,Humberto Ríos Bolívar,Francisco Almagro Vázquez
Pág. 17 - 30
In order to improve the management of revolving credit risk when estimating provisions in Mexico ?specifically in the case of portfolios administered by credit institutions (banks)? this research employs an alternative logit model to reflect levels of ri...
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