Results 1 to 10 of about 137,575 (264)
Leverage effect in energy futures [PDF]
Energy Economics, 2014 19 pages, 2 figures, 5 ...
Ladislav Kristoufek
exaly +5 more sources
CONTRIBUTION OF EVA LEVERAGE TO THE TOTAL LEVERAGE EFFECT ON THE COMPANY [PDF]
Challenges of the Knowledge Society, 2019 The concept of Economic Value Added (EVA) and Market Value Added (MVA) has opened up new insights into the leverage effect of fixed costs (operational leverage) and interest (financial leverage), and for determining what effects the changes in sales ...
Kristina Jančovičová BOGNÁROVÁ
doaj +1 more source
Jump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility Models [PDF]
مدلسازی اقتصادسنجی, 2022 New findings show that volatility models with jump component are more successful than without jumping models in modeling stylized facts about the stock market.
Alireza Najjarpour, Mojtaba Rostami
doaj +1 more source
The Leverage Effect of Bank Disclosures [PDF]
SSRN Electronic Journal, 2021 ABSTRACT We study how disclosures affect banks’ leverage and risk. Banks screen borrowers and originate loans, partially financed using insured deposits. The possibility to sell loans before they mature incentivizes banks to lever up using uninsured short-term debt to dilute insured deposits. If markets are opaque, good loans trade at
Philipp J. König +2 more
openaire +3 more sources
Testing for the Presence of the Leverage Effect without Estimation
Mathematics, 2022 Problem: The leverage effect plays an important role in finance. However, the statistical test for the presence of the leverage effect is still lacking study.
Zhi Liu
doaj +1 more source
Modeling Crude Oil Price Dynamics: Investigation of Jump and Volatility Using Stochastic Volatility Models (Case study: WTI crude oil prices in 2020 and 2021) [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2020 Due to the strategic role of volatility and instability of crude oil prices and their effects on all countries of the world, different methods of modeling and forecasting are necessary.
mojtaba rostami +1 more
doaj +1 more source
Is the 'Leverage Effect' a Leverage Effect? [PDF]
SSRN Electronic Journal, 2001 The "leverage effect" refers to the well-established relationship between stock returns and both implied and realized volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in market valuation of a firm's equity has on the degree of leverage in its capital structure, with an ...
Stephen Figlewski, Xiaozu Wang
openaire +1 more source
Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
doaj +1 more source
Assessing the Impact of Credit Risk on Equity Options via Information Contents and Compound Options
Risks, 2023 This work aims to develop a measure of how much credit risk is priced into equity options. Such a measure appears particularly appealing when applied to a portfolio of equity options, as it allows for the factoring in of firm-specific default dynamics ...
Federico Maglione, Maria Elvira Mancino
doaj +1 more source
Frontiers in Pharmacology, 2022 Introduction: The majority of the money spent on possible new medications’ clinical trials is accounted for by the innovative pharmaceutical sector, which also stimulates the economy of a nation.
Maurizio Gaetano Polignano +5 more
doaj +1 more source