Results 81 to 90 of about 2,588 (267)

Guidance or Misdirection? Unpacking the Role of Feedback in Health Preference Assessments

Health Economics, EarlyView.
ABSTRACT This study investigated the impact of providing feedback to respondents on a dominance‐structured choice task on subsequent choice behavior in a discrete choice experiment (DCE). The DCE was conducted among 626 patients with heart failure. Respondents were given a dominance‐structured choice task in which two devices (Device A and Device B ...
Mesfin G. Genie, Shelby D. Reed, Semra Ozdemir   +2 more
wiley   +1 more source

Managing the Risk via the Chi-Squared Distribution in VaR and CVaR with the Use in Generalized Autoregressive Conditional Heteroskedasticity Model

Mathematics
This paper develops a framework for quantifying risk by integrating analytical derivations of Value at Risk (VaR) and Conditional VaR (CVaR) under the chi-squared distribution with empirical modeling via Generalized Autoregressive Conditional ...
Fazlollah Soleymani, Qiang Ma, Tao Liu
doaj   +1 more source

Climate Transition Risk, ESG Rating Divergence and Portfolio Performance: Evidence From Composite Scores and Climate‐Adjusted Factor Models

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study investigates how ESG rating divergences and climate transition risks jointly influence portfolio performance. Using a newly constructed composite Environmental (E) score derived from principal component analysis (PCA) across three leading ESG providers (Eikon, RobecoSAM, Sustainalytics), we build industry‐adjusted portfolios for 389 
Ahmed Bouteska, Murad Harasheh, Giovanni Esposito   +2 more
wiley   +1 more source

The impact of the COVID-19 pandemic and the Russian invasion of Ukraine on Gold markets

Business, Management and Economics Engineering
Purpose – The study examines global Gold market performance and correlations between COVID-19, the Russian invasion, inflation, investors’ fear, asymmetric shocks, and the VIX (volatility index) impact on volatility.
Fisnik Morina, Valdrin Misiri, Saimir Dinaj, Simon Grima   +3 more
doaj   +1 more source

Bivariate Volatility Modeling with High-Frequency Data

Econometrics, 2019
We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
doaj   +1 more source

Interplay Between Green Investment and Market Price Premia in Global Shipping

International Journal of Finance &Economics, EarlyView.
ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi, Nikos C. Papapostolou, Malvina Marchese, Ioannis C. Moutzouris, Angelos Efstathiou   +4 more
wiley   +1 more source

Assessing Tail Risk Using Expectile Regressions with Partially Varying Coefficients

Journal of Management Science and Engineering, 2018
To characterize heteroskedasticity, nonlinearity, and asymmetry in tail risk, this study investigates a class of conditional (dynamic) expectile models with partially varying coefficients in which some coefficients are allowed to be constants, but others
Zongwu Cai, Ying Fang, Dingshi Tian
doaj   +1 more source

Household Consumption Intentions by Income Group During Monetary Policy Easing and Tightening

International Journal of Finance &Economics, EarlyView.
ABSTRACT We investigate how the monetary policy interest rate affects Brazilian households' consumption intentions under two distinct regimes: monetary easing and tightening cycles. Using data from low‐ and high‐income households, we assess both the magnitude and the dynamics of this relationship.
Helder Ferreira de Mendonça, Daniel Pereira dos Anjos   +1 more
wiley   +1 more source

Modeling the Nexus Between Climate Risk, Energy Consumption, and Financial Market Performance in Emerging Countries

International Studies of Economics, EarlyView.
Abstract This paper examines the link between climate risk, energy consumption, and financial market performance in a sample of emerging countries over the period 2000–2024. The objective is to model the dynamic interactions between these three dimensions, in order to understand the extent to which energy dependence and exposure to climate risks ...
Abdelkader Mohamed Derbali
wiley   +1 more source

A Consistent Heteroskedasticity‐Robust LM‐Type Specification Test for Semiparametric Models

Journal of Applied Econometrics, EarlyView.
ABSTRACT This article develops a heteroskedasticity‐robust Lagrange Multiplier‐type specification test for semiparametric regression models. The test is able to detect a wide class of deviations from the null hypothesis. The test statistic is based on the estimates from the restricted semiparametric model, can be computed in a regression‐based way, and
Ivan Korolev
wiley   +1 more source