Results 31 to 40 of about 4,202 (205)
Modeling the volatility of Banks index returns for the Saudi stock exchange using EGARCH model [PDF]
مجلة الاجتهاد للدراسات القانونية والاقتصادية, 2021 This study aims to model and measures the volatility of the returns of the banking sector in the Saudi stock exchange. The study used the exponential generalized autoregressive conditional heteroskedastic (EGARCH) model. The banking sector index (TBNI),
MANSOURI hadj moussa, GUENNOUN Abdelhak
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Investigating the sources of Black’s leverage effect in oil and gas stocks
Cogent Economics & Finance, 2017 The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility ...
Muhammad Surajo Sanusi
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Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2023 This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH.
José Eduardo Medina Reyes +2 more
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The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks
Studies in Business and Economics, 2016 This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’
Priti Verma
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Ramanujan International Journal of Business and Research, 2017 The public sector banks in India play dominant role in deposit mobilisation and loan advancement to masses due to their capital potency, technological advancement and financial inclusion ideology.
Dr. Vandana Dangi
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Trends in Business and EconomicsBu çalışmada özellikle gelişmekte olan ülkelerin iç ve dış denge amaçları açısından son derece önemli olan finansal dışa açıklık ve faiz oranının döviz kuru oynaklığı üzerindeki etkileri araştırma konusu yapılmıştır.
Elifnur Tığtepe, Sevda Yapraklı
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Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
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Cogent Economics & Finance, 2016 This paper investigates linkages among equity market returns and volatility spillovers in the following countries: Germany, United Kingdom, China, Russia, and Turkey.
Lidija Dedi, Burhan F. Yavas
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Australian Economic Papers, EarlyView.ABSTRACT This study examines volatility interconnectedness among selected agricultural commodities and precious/industrial metals, together with oil price uncertainty and global supply chain pressure, over the period January 1998 to June 2024 using a Quantile‐on‐Quantile connectedness framework.
Muhammed Benli, Halil Altıntaş
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