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Articles 1 - 3 of 3
Full-Text Articles in Finance and Financial Management
Do Nonparametric Measures Of Extreme Equity Risk Change The Parametric Ordinal Ranking? Evidence From Asia, Robert J. Powell, Duc H. Vo., Thach N. Pham
Do Nonparametric Measures Of Extreme Equity Risk Change The Parametric Ordinal Ranking? Evidence From Asia, Robert J. Powell, Duc H. Vo., Thach N. Pham
Research outputs 2014 to 2021
There has been much discussion in the literature about how central measures of equity risk such as standard deviation fail to account for extreme tail risk of equities. Similarly, parametric measures of value at risk (VaR) may also fail to account for extreme risk as they assume a normal distribution which is often not the case in practice. Nonparametric measures of extreme risk such as nonparametric VaR and conditional value at risk (CVaR) have often been found to overcome this problem by measuring actual tail risk without applying any predetermined assumptions. However, this article argues that it is not just …
Modelling And Forecasting Stock Price Movements With Serially Dependent Determinants, Rasika Yatigammana, Shelton Peiris, Richard Gerlach, David Edmund Allen
Modelling And Forecasting Stock Price Movements With Serially Dependent Determinants, Rasika Yatigammana, Shelton Peiris, Richard Gerlach, David Edmund Allen
Research outputs 2014 to 2021
The direction of price movements are analysed under an ordered probit framework, recognising the importance of accounting for discreteness in price changes. By extending the work of Hausman et al. (1972) and Yang and Parwada (2012),This paper focuses on improving the forecast performance of the model while infusing a more practical perspective by enhancing flexibility. This is achieved by extending the existing framework to generate short term multi period ahead forecasts for better decision making, whilst considering the serial dependence structure. This approach enhances the flexibility and adaptability of the model to future price changes, particularly targeting risk minimisation. Empirical …
Rmb Exchange Rates And Volatility Spillover Across Financial Markets In China And Japan, Fengming Qin, Junru Zhang, Zhaoyong Zhang
Rmb Exchange Rates And Volatility Spillover Across Financial Markets In China And Japan, Fengming Qin, Junru Zhang, Zhaoyong Zhang
Research outputs 2014 to 2021
This study examines empirically the volatility spillover effects between the RMB foreign exchange markets and the stock markets by employing daily returns of the Chinese RMB exchange rates and the stock markets in China and Japan during the period in 1998–2018. We find evidence that there exist co-volatility effects among the financial markets in China and Japan, and the volatility of RMB exchange rates contribute to the co-volatility spillovers across the financial markets. Reversely, the return shock from the stock markets can also generate co-volatility spillover to the foreign exchange markets. The bidirectional relationship reveals that both the fundamental hypothesis …