Price limit and volatility in Taiwan stock exchange: Some additional evidence from the extreme value approach
AI Maghyereh, HA Al Zoubi… - Review of Pacific Basin …, 2007 - World Scientific
We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a
new methodology based on the Extreme-Value technique. Consistent with the advocates of …
new methodology based on the Extreme-Value technique. Consistent with the advocates of …
Investment characteristics of Indonesian government bond market during the COVID-19 pandemic
A Ganchev - Ganchev, A.(2022). Investment Characteristics of …, 2022 - papers.ssrn.com
The purpose of the study is to define the main investment characteristics of the Indonesian
government bond market during the COVID-19 pandemic. The subject of the analysis is the …
government bond market during the COVID-19 pandemic. The subject of the analysis is the …
Extreme daily changes in US Dollar London inter-bank offer rates
T Krehbiel, LC Adkins - International Review of Economics & Finance, 2008 - Elsevier
The likelihood of extreme daily changes in London Interbank Offer rates are estimated using
the peaks-over-threshold method developed from extreme value theory. Value at risk and …
the peaks-over-threshold method developed from extreme value theory. Value at risk and …
An extreme value approach to test the effect of price limits on volatility
H Nobanee, K Al-Hilu - Journal of Modern Accounting and Auditing, 2013 - papers.ssrn.com
Many stock exchanges around the world enforce daily price limits on the amount asset
prices can change to prevent the market from overreacting and to reduce volatility. Using a …
prices can change to prevent the market from overreacting and to reduce volatility. Using a …
Interest Rate Risk In Turkish Financial Markets Across Different Time Periods
D Özdemir, H Schmidbauer - Bulletin of Monetary Economics …, 2014 - bulletin.bmeb-bi.org
A Measuring the risk associated with interest rates is important since it is beneficial in taking
measures before negative effects can take place in an economy. We obtain a risk measure …
measures before negative effects can take place in an economy. We obtain a risk measure …
Risiko Tingkat Suku Bunga Di Pasar Keuangan Turki Pada Periode Waktu Yang Berbeda
D Özdemir, H Schmidbauer - Bulletin of Monetary Economics …, 2014 - bulletin.bmeb-bi.org
A Measuring the risk associated with interest rates is important since it is beneficial in taking
measures before negative effects can take place in an economy. We obtain a risk measure …
measures before negative effects can take place in an economy. We obtain a risk measure …
Zmiany ekstremalne na polskim międzybankowym rynku stopy procentowej
R Pietrzyk - Zeszyty Naukowe Uniwersytetu Szczecińskiego …, 2007 - bazekon.icm.edu.pl
Teoria wartości ekstremalnych znajduje liczne zastosowania w finansach zarówno w
ubezpieczeniach jak i na rynkach finansowych. Wiele badań przeprowadzonych na świecie …
ubezpieczeniach jak i na rynkach finansowych. Wiele badań przeprowadzonych na świecie …
[CITATION][C] Conditional Value at Risk and Extreme Values: Risk Analysis of the Emerging Stock Markets from Brazil and Mexico
R de Jesús, E Ortiz
[CITATION][C] Comparação de Modelos de VaR Aplicados a Operações de Imunização de Curva no Mercado Brasileiro de Renda Fixa
M Ganem, TKN Baidya