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OpenAlex topic

Financial Risk and Volatility Modeling

This page lists works and academicians tagged with an OpenAlex topic. It is not a YÖKSİS primary or secondary field.

OpenAlex 2,325 works 178 author topics

Works

2,325 works

  1. Better to give than to receive Predictive directional measurement ofvolatility spillovers 2012
    YÖKSİS SJR Q1 JCR Q2 OpenAlex top 1% OpenAlex 100.0%

    No abstract yet.

  2. MEASURING FINANCIAL ASSET RETURN AND VOLATILITY SPILLOVERS WITHAPPLICATION TO GLOBAL EQUITY MARKETS 2009
    YÖKSİS SJR Q1 JCR Q1 OpenAlex top 1% OpenAlex 99.8%

    We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non‐crisis and crisis episodes, including trends and bursts in…

  3. Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets 2007

    No abstract yet.

  4. Oil prices and real estate investment trusts REITs Gradual shift causality and volatility transmission analysis 2016
    YÖKSİS SJR Q1 JCR Q1 OpenAlex top 10% OpenAlex 98.8%

    No abstract yet.

  5. Geopolitical risks and stock market dynamics of the BRICS 2018
    OpenAlex top 1% OpenAlex 99.8%

    No abstract yet.

  6. To prewhiten or not to prewhiten in trend analysis? 2007
    OpenAlex top 10% OpenAlex 96.3%

    The Mann-Kendall test, used to detect a trend in a time series, yields an incorrect (too large) rejection rate when applied to an autocorrelated series with no trend. Prewhitening corrects this situation, but reduces the power of the test when a trend exists. A simulation study is performed to determine when prewhiten…

  7. Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices 2020
    YÖKSİS SJR Q1 JCR Q1 OpenAlex top 1% OpenAlex 99.8%

    No abstract yet.

  8. The more contagion effect on emerging markets: The evidence of DCC-GARCH model 2012
    OpenAlex top 1% OpenAlex 99.6%

    No abstract yet.

  9. The more contagion effect on emerging markets The evidence of DCC GARCH model 2012
    YÖKSİS SJR Q2 JCR Q3 OpenAlex top 1% OpenAlex 99.6%

    No abstract yet.

  10. Evaluating predictive performance of value at risk models in emerging markets a reality check 2006
    YÖKSİS SJR Q2 JCR Q3 OpenAlex top 10% OpenAlex 98.1%

    We investigate the predictive performance of various classes of value-at-risk (VaR) models in several dimensions—unfiltered versus filtered VaR models, parametric versus nonparametric distributions, conventional versus extreme value distributions, and quantile regression versus inverting the conditional distribution f…

  11. Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 2015
    OpenAlex top 1% OpenAlex 99.8%

    Abstract: We characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004-2014. Our methods enable precise characterization of the timing and evolution of key aspects of the financial crisis. First, we find that during 2007-2008 the direction of connect…

  12. Asymmetric Predictability of Conditional Variances 1991
    OpenAlex top 10% OpenAlex 95.5%

    We show that there is an asymmetry in the predictability of the volatilities of large versus small firms. Using both univariate and multivariate ARMA–GARCH-M parameterizations, we find that volatility surprises to large market value firms are important to the future dynamics of their own returns as well as the returns…

Academicians

178 academicians