Results 31 to 40 of about 11,730 (214)
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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EGARCH models with fat tails, skewness and leverage [PDF]
Computational Statistics & Data Analysis, 2014 two components.
Harvey, Andrew, Sucarrat, Genaro
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Robust CDF‐Filtering of a Location Parameter
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania +2 more
wiley +1 more source
On the Invertibility of EGARCH [PDF]
, 2014 Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns ...
Martinet, D, McAleer, Michael
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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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