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Dynamic return-volatility dependence and risk measure of CoVaR in the oil market
1 个回复 - 639 次查看【作者(必填)】 23 【文题(必填)】 Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model【年份(必填)】 23 【全文链接或数据库名称(选填)】 ...2021-6-17 03:34 - internet.hzx - 求助成功区

Does Other Comprehensive Income Volatility Influence Credit Risk and the Cost
0 个回复 - 531 次查看 Does Other Comprehensive Income Volatility Influence Credit Risk and the Cost of Debt?* MAY XIAOYAN BAO, University of New Hampshire MATTHEW T. BILLETT, Indiana University DAVID B. SMITH, Universit ...2020-6-5 11:05 - 2464_1576338390 - 论文版

Evaluation of volatility models for forecasting Value-at-Risk and Expected Short
1 个回复 - 344 次查看【作者(必填)】 23 【文题(必填)】 Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market【年份(必填)】 23 【全文链接或数据库名称(选填)】 ...2019-5-3 12:52 - internet.hzx - 求助成功区

2017-11 Taxonomy of Global Risk, Uncertainty, and Volatility Measures
1 个回复 - 689 次查看 2017-11 Taxonomy of Global Risk, Uncertainty, and Volatility Measures 49页 International Finance Discussion Papers Board of Governors of the Federal Reserve System2019-1-25 11:35 - zlghs - 金融学（理论版）

Essays in Asset Pricing and Volatility Risk
5 个回复 - 1286 次查看 In the first chapter (``Good and Bad Uncertainty: Macroeconomic and Financial Market Implications'' with Ivan Shaliastovich and Amir Yaron) we decompose aggregate uncertainty into `good' and `bad ...2018-9-7 09:52 - 0903clili - 宏观经济学

Risk Contribution Is Exposure Times Volatility Times Correlation（PDF）
0 个回复 - 1313 次查看 Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula by Jose Menchero and Ben Davis 风险拆解计算　ＭＳＣＩ　Ｂａｒｒａ论文2018-12-24 16:05 - guouoo - 金融工程（数量金融）与金融衍生品

Modelling Financial Risks. Fat Tails, Volatility Clustering and Copulae
3 个回复 - 1785 次查看【作者(必填)】Bernhard Pfaff 【文题(必填)】Modelling Financial Risks. Fat Tails, Volatility Clustering and Copulae 【年份(必填)】2010 【全文链接或数据库名称(选填)】2013-11-22 15:26 - lipj - 求助成功区

求“Risk Matters: The Real Effects of Volatility Shocks”
1 个回复 - 479 次查看【作者(必填)】 [*]Jesús Fernández-Villaverde [*]Pablo Guerrón-Quintana [*]Juan F. Rubio-Ramírez [*]Martin Uribe 【文题(必填)】 Risk Matters: The Real Effects of Volatility Shocks 【年份(必 ...2018-6-14 09:59 - 2066891135 - 求助成功区

Volatility, correlation and tails for systemic risk measurement
1 个回复 - 1074 次查看【作者(必填)】 Christian T. Brownlees (New York University)Robert Engle (New York University)【文题(必填)】 Volatility, correlation and tails for systemic risk measurement 【年份(必填)】 Working P ...2018-1-16 21:44 - moretc - 求助成功区

Semivolatility of Returns as a Measure of Downside Risk
6 个回复 - 860 次查看【作者(必填)】Donald R. Chambers and Qin Lu 【文题(必填)】Semivolatility of Returns as a Measure of Downside Risk 【年份(必填)】Vol. 19, No. 3, Winter 2017 【全文链接或数据库名称(选填)】http: ...2016-12-22 18:08 - lopemann - 求助成功区

Big Banks, Idiosyncratic Volatility, and Systemic Risk
1 个回复 - 1034 次查看【作者(必填)】 Ricardo T. Fernholz Christoffer Koch 【文题(必填)】 Big Banks, Idiosyncratic Volatility, and Systemic Risk 【年份(必填)】 2017 【全文链接或数据库名称(选填)】https://www.aeaweb.or ...2017-12-22 21:31 - waterup - 求助成功区

The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing
9 个回复 - 812 次查看【作者(必填)】作者: Li, Xi; Sullivan, Rodney N.; Garcia-Feijoo, Luis 【文题(必填)】 The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing 【年份(必填)】 2016 【全文链接或 ...2017-10-28 11:20 - gregoryxue - 求助成功区

Dynamic return-volatility dependence and risk measure of CoVaR in the oil market
1 个回复 - 693 次查看【作者(必填)】 Bing-YueLiuabQiangJibcYingFand 【文题(必填)】 Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model【年份(必填)】 2017 ...2017-10-13 18:13 - internet.hzx - 求助成功区

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk
3 个回复 - 449 次查看【作者(必填)】Leopoldo Catania 【文题(必填)】Dynamic Adaptive Mixture Models with an Application to Volatility and Risk 【年份(必填)】2019 【全文链接或数据库名称(选填)】https://academic.oup.com ...2019-10-9 14:54 - hnhs100 - 求助成功区

Big Banks, Idiosyncratic Volatility, and Systemic Risk
1 个回复 - 962 次查看【作者(必填)】 [*]Ricardo T. Fernholz [*]Christoffer Koch 【文题(必填)】 Big Banks, Idiosyncratic Volatility, and Systemic Risk【年份(必填)】 2017 【全文链接或数据库名称(选填)】https://www ...2017-7-21 15:57 - waterup - 求助成功区

求助下载文献一篇Idiosyncratic volatility, arbitrage risk, and anomaly returns
2 个回复 - 712 次查看【作者(必填)】Jin, Lucy L 【文题(必填)】Idiosyncratic volatility, arbitrage risk, and anomaly returns 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://search.proquest.com/docview/1411930 ...2017-4-14 21:36 - cooper56 - 求助成功区

Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintai
2 个回复 - 773 次查看【作者(必填)】 D Barro 【文题(必填)】Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance 【年份(必填)】2014 【全文链接或数据库名称(选填)】h ...2017-2-20 15:21 - 迷途mitu - 文献求助专区

Pricing Kernels with Stochastic Skewness and Volatility Risk
3 个回复 - 681 次查看【作者(必填)】Fousseni Chabi-Yo 【文题(必填)】Pricing Kernels with Stochastic Skewness and Volatility Risk 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://pubsonline.informs.org/doi/abs ...2016-12-2 11:23 - hnhs100 - 求助成功区

Risk and the Volatility Anomaly
2 个回复 - 830 次查看【作者(必填)】Jack De Jong and Darshana D. Palkar 【文题(必填)】Risk and the Volatility Anomaly 【年份(必填)】Fall 2016, Vol. 25, No. 3: pp. 17-28 【全文链接或数据库名称(选填)】http://www.iijou ...2016-10-26 21:30 - lopemann - 求助成功区

An Asset Class Characterization of the U.S. Equity Index Volatility Risk Premium
1 个回复 - 898 次查看【作者(必填)】William Fallon and James Park 【文题(必填)】An Asset Class Characterization of the U.S. Equity Index Volatility Risk Premium 【年份(必填)】Fall 2016, Vol. 43, No. 1: pp. 72-84 【 ...2016-10-26 21:08 - lopemann - 求助成功区

Conditional risk and performance evaluation: Volatility timing, overconditioning
0 个回复 - 407 次查看 2016-8-2 08:07 - lk1966mail - 文献求助专区

VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WE
1 个回复 - 867 次查看【作者(必填)】【文题(必填)】VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES 【年份(必填)】EVA LüTKEBOHMERT and LYDIENNE MATCHIE 【全 ...2014-10-27 22:32 - ssylzz - 求助成功区

The Risks of Volatility ETNs: A Recent Incident and Underlying Issues
2 个回复 - 641 次查看【作者(必填)】Felix Goltz and Stoyan Stoyanov 【文题(必填)】The Journal of Index Investing 【年份(必填)】Fall 2013 【全文链接或数据库名称(选填)】http://www.iijournals.com/doi/abs/10.3905/jii. ...2016-6-24 15:14 - lopemann - 求助成功区

大牛Protter的学生的博士论文：LIQUIDITY RISK,VOLATILITY AND FINANCIAL BUBBLES
5 个回复 - 1782 次查看 LIQUIDITY RISK,VOLATILITY AND FINANCIAL BUBBLES2012-3-29 11:36 - jngod - 金融学（理论版）

Bubbles and capital flow volatility: Causes and risk management
3 个回复 - 776 次查看【作者(必填)】Ricardo J. Caballeroa, b, , Arvind Krishnamurthyc 【文题(必填)】Bubbles and capital flow volatility: Causes and risk management 【年份(必填)】2006 【全文链接或数据库名称(选填)】ht ...2015-11-3 16:00 - yangnay - 求助成功区

Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling
4 个回复 - 2802 次查看 The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the exchange ...2015-7-5 23:25 - nelsoncwlee - 金融学（理论版）

Robust Hedging Performance And Volatility Risk In Option Markets
3 个回复 - 751 次查看【作者(必填)】Chuan-Hsiang Hana, , , Chien-Hung Changb, , Chii-Shyan Kuoc, , Shih-Ti Yua, 【文题(必填)】Robust hedging performance and volatility risk in option markets: Application to Standard an ...2015-5-4 15:42 - lipj - 求助成功区

Mimicking Aggregate Volatility Risk - FVIX
2 个回复 - 2627 次查看 Paper - Ang, Hodrick, Xing and Zhang 2006 不太理解里面FVIX是怎么运作的？？这个mimickig factor是怎么算出来的？？另外一个问题是：Aggregate Volatility = Total Volatility = Systematic volatility + ...2009-6-20 06:26 - mike315 - 计量经济学与统计软件

Stochastic volatility of volatility and variance risk premia
3 个回复 - 858 次查看【作者(必填)】Barndorff-nielsen, O.E., Veraart, A.E.D 【文题(必填)】Stochastic Volatility of Volatility and Variance Risk Premia 【年份(必填)】2012 【全文链接或数据库名称(选填)】Journal of Fi ...2015-1-31 20:59 - Bumboo - 求助成功区

Uncertain volatility and the risk-free synthesis of derivatives
3 个回复 - 946 次查看【作者(必填)】Lyons, T. J. 【文题(必填)】Uncertain volatility and the risk-free synthesis of derivatives 【年份(必填)】1995 【全文链接或数据库名称(选填)】http://www.tandfonline.com/doi/abs/10 ...2014-10-5 14:41 - verinn - 求助成功区

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Reba
3 个回复 - 773 次查看【作者(必填)】 Chien, YiLi, Harold Cole, and Hanno Lustig 【文题(必填)】 Chien, YiLi, Harold Cole, and Hanno Lustig. 2012. "Is the Volatility of the Market Price of Risk Due to Intermittent Portfol ...2014-5-29 21:38 - pan1111111 - 求助成功区

Risk Management and Financial Institutions_Volatility
0 个回复 - 870 次查看 this file is a sort out for Risk Management and Financial Institutions. this site is about book information http://www.amazon.ca/Risk-Management-Financial-Institutions-Site/dp/1118269039/ref=dp_ob_ ...2013-12-10 09:29 - asd165asd165 - 金融学（理论版）

Question—Risk premium and volatility
2 个回复 - 975 次查看 Riskpremium is proportional to the risk an asset is exposed to. Since risk levelcan be measured by volatility, so a very volatile stock must offer a highpremium.请问这表述是对的吗，为什么？2013-10-30 14:30 - cy1991630 - 爱问频道

Volatility: Risk and Uncertainty in Financial Markets
17 个回复 - 4178 次查看 Robert A. Schwartz, John Aidan Byrne, and Antoinette Colaninno - Volatility: Risk and Uncertainty in Financial Markets Volatility is very much with us in today's equity markets. Day-to-day pric ...2010-11-26 00:35 - terrytong - 经济金融数学专区

Uncertain volatility and the risk-free synthesis of derivatives
1 个回复 - 1784 次查看请各位学长帮忙下载一篇文献：可以在www.informaworld.com/上找到链接2011-3-15 09:42 - billymail - 金融工程（数量金融）与金融衍生品

volatility risk 是什么意思
2 个回复 - 5899 次查看前辈们，volatility risk是什么意思呢。谢了。2011-10-9 11:32 - mavis_ty - CFA、CVA、FRM等金融考证论坛

The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-...
0 个回复 - 750 次查看 2004-11-2 09:52 - 香港股市462 - Forum

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification ...
0 个回复 - 330 次查看 2004-8-8 20:05 - 李嘉图441 - Forum

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