Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1
1
1

Citation Types

6
39
0

Year Published

2020
2020
2024
2024

Publication Types

Select...
6
2

Relationship

2
6

Authors

Journals

citations
Cited by 25 publications
(45 citation statements)
references
References 35 publications
6
39
0
Order By: Relevance
“…Later researchers have employed a number of different and advanced GARCH methodologies in order to better capture interlinkages between Bitcoin and traditional assets. Al Janabi et al (2019) perform liquidity-adjusted Value-at-Risk (LVaR) optimization based on vine copulas and LVaR models and GARCH, EGARCH, GJR-GARCH and APARCH specifications concerning Bitcoin, stock markets of the G7 countries, gold and commodities. Empirical outcomes provide evidence that Bitcoin and gold are useful in improving the risk-return trade-off of the G7 stock portfolio.…”
Section: Bitcoin and Hedging And/or Diversifying Abilitiesmentioning
confidence: 99%
“…Later researchers have employed a number of different and advanced GARCH methodologies in order to better capture interlinkages between Bitcoin and traditional assets. Al Janabi et al (2019) perform liquidity-adjusted Value-at-Risk (LVaR) optimization based on vine copulas and LVaR models and GARCH, EGARCH, GJR-GARCH and APARCH specifications concerning Bitcoin, stock markets of the G7 countries, gold and commodities. Empirical outcomes provide evidence that Bitcoin and gold are useful in improving the risk-return trade-off of the G7 stock portfolio.…”
Section: Bitcoin and Hedging And/or Diversifying Abilitiesmentioning
confidence: 99%
“…After analysing portfolio optimization literature, it can be seen that scientists often conclude that the portfolio selection problem should include additional parameters besides return and risk (Meghwani & Thakur, 2017;Sanchez-Roger et al, 2020;Siddique et al, 2020;Steuer et al, 2008). Examples of such criteria are liquidity (Al Janabi et al, 2019;Jana et al, 2009;Li & Zhang, 2021), skewness (Kerstens et al, 2008;Konno & Yamamoto, 2005;Pahade & Jha, 2021;Saborido et al, 2016), conditional value at risk (CVaR) (Aboulaich et al, 2010;Najafi & Mushakhian, 2015;Strub et al, 2019). Other scientists also broadly analysed various aspects of stock market and investment (Ogiugo et al, 2020, Dvorsky et al, 2020Masood et al, 2020;Giacomella, 2021;Becheikh, 2021;Zumente & Bistrova, 2021;Sl avik et al, 2021;Kasperovica & Lace, 2021;Nassar & Tvaronavi cien_ e 2021;Mura & Hajduov a, 2021), thus, these topics get proper attention.…”
Section: Literature Reviewmentioning
confidence: 99%
“…In their paper, Madoroba and Kruger (2014) review and compare 10 liquidity risk VaR models, including Al Janabi model. The liquidity risk model is largely drawn from Al Janabi model (Al Janabi, 2012, 2013, 2014), Al Janabi et al (2017, 2019).…”
Section: Notesmentioning
confidence: 99%
“…In fact, some relevant studies have addressed the issues of liquidity risk but not necessarily within portfolio optimization context. Their main focus, in fact, was on modeling merely transaction costs (that is, the widening of the bid-ask spread), however, the effects of adverse market price impact have not been studies rigorously, though Al Janabi (2013, 2014), Al Janabi et al (2017, 2019) are an exception. For the sake of brevity, we discuss below a concise description of some of the suggested modeling techniques for liquidity risk, detailed as follows: Within the VaR technique, Jarrow and Subramanian (1997) present a market impact model of liquidity by taking into consideration the optimal liquidation of a portfolio over a fixed horizon.…”
Section: Introductionmentioning
confidence: 99%