Impacts of the COVID-19 epidemic on carbon emissions from international shipping. [PDF]
Mar Pollut Bull, 2023 Xu L, Yang Z, Chen J, Zou Z.
europepmc +1 more source
The effect of realised volatility on stock returns risk estimates [PDF]
In this paper, we estimate minimum capital risk requirements for short, long positions and three investment horizons, using the traditional GARCH model and two other GARCH-type models that incorporate the possibility of asymmetric responses of volatility
Aurea Grane, Helena Veiga
core
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
Mean and variance causality between the Cyprus Stock Exchange and major equity markets [PDF]
This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers.
Avo Kazandjian +3 more
core
OVERCONFIDENCE BIAS: EXPLANATION OF MARKET ANOMALIES FRENCH MARKET CASE [PDF]
In this study, we test whether the overconfidence bias explains several stylized market anomalous, including a short-term continuation (momentum), a long-term reversal in stock returns, high levels of trading volume and excessive volatility.
Abdelfettah BOURI +2 more
core
Copper Future's Risk Spillover Effect between SHFE and LME Based on EGARCH-GED [PDF]
, 2016 Jianhe Liu +3 more
openalex +1 more source
Will a boom be followed by crash? A new systemic risk measure based on right-tail risk. [PDF]
Front Psychol, 2022 Liu Q, Xu M, Xiong J.
europepmc +1 more source
VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER [PDF]
Modeling of volatility has been felt one of the major academic contributions in Indian commodity futures market. We have selected black pepper as a commodity for estimating volatility and its spillover incorporating a series of models.
Dey Kushankur, Maitra Debasish
core
International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord [PDF]
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c).
Juan-Ángel Jiménez-Martín +2 more
core +3 more sources