Výsledky vyhledávání - "Dejan Živkov"

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  1. 1
    Multiscale volatility transmission and portfolio construction between the Baltic stock markets

    Multiscale volatility transmission and portfolio construction between the Baltic stock markets

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    Nalezeno v 2 institucích

  2. 2
    What wavelet-based quantiles can suggest about stocks-bond interaction in the emerging East Asian economies?

    What wavelet-based quantiles can suggest about stocks-bond interaction in the emerging East Asian economies?

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    Nalezeno v 2 institucích

  3. 3
    The effect of oil price uncertainty on industrial production in the major European economies - methodologies based on the Bayesian approach

    The effect of oil price uncertainty on industrial production in the major European economies - methodologies based on the Bayesian approach

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    Nalezeno v 2 institucích

  4. 4
    Multiscale interdependence between the major agricultural commodities

    Multiscale interdependence between the major agricultural commodities

    This paper investigates multiscale dynamic interconnection between the five agricultural commodities - corn, wheat, soybean, rice and oats, covering more than 18 years period. For research purposes, …

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  5. 5
    What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

    What Bayesian quantiles can tell about volatility transmission between the major agricultural futures?

    This paper investigates an idiosyncratic volatility spillover effect between the four agricultural futures - corn, wheat, soybean, and rise. In order to avoid biased measurements of the volatilities, …

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  6. 6
    How to combine precious metals with corn in a risk-minimizing two-asset portfolio?

    How to combine precious metals with corn in a risk-minimizing two-asset portfolio?

    This paper tries to find out which precious metal futures are the best hedging tools for corn spot commodity, taking into account three different risk measures - variance (Var), value at risk (VaR), …

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    Nalezeno v 2 institucích

  7. 7
    Measuring the risk-adjusted performance of selected soft agricultural commodities

    Measuring the risk-adjusted performance of selected soft agricultural commodities

    In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only the level of risk, we found that cocoa had the …

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  8. 8
    Making a Markowitz portfolio with agricultural commodity futures

    Making a Markowitz portfolio with agricultural commodity futures

    This paper constructs a minimum-variance portfolio of six agricultural futures. We make a full sample analysis as well as a pre-COVID and COVID examination. Using Markowitz portfolio optimisation, we …

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  9. 9
    Multi-frequency downside risk interconnectedness between soft agricultural commodities

    Multi-frequency downside risk interconnectedness between soft agricultural commodities

    In this article, we explore multiscale extreme risk interdependence between four soft agricultural markets - coffee, cocoa, cotton and orange juice. Wavelet correlation and cross-correlation are used …

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  10. 10
    How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?

    How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?

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  11. 11
    The downside risk approach to cost of equity determination for Slovenian, Croatian and Serbian capital markets

    The downside risk approach to cost of equity determination for Slovenian, Croatian and Serbian capital markets

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    Nalezeno v 2 institucích

  12. 12
    Energy commodity price risk minimization with precious metals in a multivariate portfolio

    Energy commodity price risk minimization with precious metals in a multivariate portfolio

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    Nalezeno v 2 institucích

  13. 13
    Bidirectional nexus between inflation and inflation uncertainty in the Asian emerging markets - the GARCH-in-Mean approach

    Bidirectional nexus between inflation and inflation uncertainty in the Asian emerging markets - the GARCH-in-Mean approach

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    Nalezeno v 2 institucích

  14. 14
    Measuring downside risk in portfolios with bitcoin

    Measuring downside risk in portfolios with bitcoin

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    Nalezeno v 2 institucích

  15. 15
    Inflation uncertainty and output growth - evidence from Asia-Pacific countries based on the multiscale Bayesian quantile inference

    Inflation uncertainty and output growth - evidence from Asia-Pacific countries based on the multiscale Bayesian quantile inference

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  16. 16
    How to reduce the extreme risk of losses in corn and soybean markets? Construction of a portfolio with European stock indices

    How to reduce the extreme risk of losses in corn and soybean markets? Construction of a portfolio with European stock indices

    Because of the COVID-19 pandemic and the war in Ukraine, agricultural commodities had significant price increases, which inevitably implies high risk. In this article, we try to mitigate the extreme …

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    Nalezeno v 2 institucích

  17. 17
    Bidirectional volatility spillover effect between the exchange rate and stocks in the presence of structural breaks in selected Eastern European economies

    Bidirectional volatility spillover effect between the exchange rate and stocks in the presence of structural breaks in selected Eastern European economies

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  18. 18
    Construction of commodity portfolio and its hedge effectiveness gauging - revisiting DCC models

    Construction of commodity portfolio and its hedge effectiveness gauging - revisiting DCC models

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  19. 19
    What multiscale approach can tell about the nexus between exchange rate and stocks in the major emerging markets?

    What multiscale approach can tell about the nexus between exchange rate and stocks in the major emerging markets?

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  20. 20
    Measuring paramteric and semiparametric downside risks of selected agricultural commodities

    Measuring paramteric and semiparametric downside risks of selected agricultural commodities

    In this paper, we evaluate the downside risk of six major agricultural commodities - corn, wheat, soybeans, soybean meal, soybean oil and oats. For research purposes, we first use an optimal …

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    Nalezeno v 1 instituci

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