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Ozkan Haykir
Pág. 148 - 153
In this paper, I investigate a recent asset pricing anomaly proposed by Bali et al. (2011) in the Turkish stock markets during the period between January 2011 and December 2017 using univariate and bivariate sorting methodologies. Bali et al. (2011) sugg...
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Ritika Jaiswal,Rashmi Uchil
Pág. 144 - 150
This study incorporates the regime switching framework to investigate the hedge and safe haven property of gold futures against the stock and bond market movements. The Markov-Switching Vector Autoregression (MS-VAR) model is adopted, which splits the wh...
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Nikola Radivojevic, Milena Cvjetkovic, Sa?a Stepanov
Pág. pp. 29 - 52
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring ma...
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Mohamed MAHJOUBI,Ezzeddine ABAOUB
Pág. 377 - 389
This research is a feedback to the call from Richardson et al. (2010) for more structure in researchers? forecasting frameworks. The purpose is to study the ability of three technical earnings forecasting methods (smoothing, random walk and cross-section...
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Julija Cerovic
Pág. 175 - 189
The concept of value at risk (VaR) is a measure that is increasingly used for estimation of the maximum loss of financial position at a given time for a given probability. The aim of this manuscript is to show the most recent approaches for quantifying m...
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