Results 31 to 40 of about 139,290 (265)
Estimation of the Continuous and Discontinuous Leverage Effects [PDF]
SSRN Electronic Journal, 2014 This article examines the leverage effect, or the generally negative covariation between asset returns and their changes in volatility, under a general setup that allows the log-price and volatility processes to be Itô semimartingales. We decompose the leverage effect into continuous and discontinuous parts and develop statistical methods to estimate ...
Aït-Sahalia, Y. +4 more
openaire +5 more sources
A Low Price Correction for Improved Volatility Estimation and Forecasting
Risks, 2017 In this work, we focus on volatility estimation which plays a crucial role in risk analysis and management. In order to improve value at risk (VaR) forecasts, we discuss the concept of low price effect and introduce the low price correction which does ...
George-Jason Siouris, Alex Karagrigoriou
doaj +1 more source
Study of Asymmetric Risk Premium in Value and Growth Stocks Based on P/E Ratio [PDF]
تحقیقات مالی, 2013 In this thesis we predict asymmetric risk premium in bothvalue and growth stock portfolios. There are two competingapproaches to explain value premium: Market Over-reactionHypothesis based on which agents overstate future returns on growthstock, and ...
Mohamadreza Pourebrahimi +2 more
doaj +1 more source
Pediatric Blood &Cancer, EarlyView.ABSTRACT Purpose Despite 5‐year survival rates of over 90% among children and adolescents/young adults (CAYAs) with classic Hodgkin lymphoma (cHL), 15%–20% relapse after frontline therapy. Prior analysis of frontline Children's Oncology Group (COG) clinical trials demonstrated that, despite similar rates of relapse, non‐Hispanic Black (NHB) and ...
Mallorie B. Heneghan +14 more
wiley +1 more source
Analysis of Influencing Mechanism of Subgrade Frost Heave on Vehicle-Track Dynamic System
Applied Sciences, 2020 Uneven subgrade frost heave has been a severe problem for the operation of high-speed railways in cold regions. In order to reveal the influencing mechanism of frost heave on the vehicle-track system, a novel FEM (finite element method) model based on an
Liang Gao +3 more
doaj +1 more source
Smile Dynamics -- A Theory of the Implied Leverage Effect [PDF]
SSRN Electronic Journal, 2009 AbstractWe study in details the skew of stock option smiles, which is induced by the so‐called leverage effect on the underlying B i.e. the correlation between past returns and future square returns. This naturally explains the anomalous dependence of the skew as a function of maturity of the option.
Stefano Ciliberti +2 more
openaire +2 more sources
Misperception of Body Weight After Childhood Cancer
Pediatric Blood &Cancer, EarlyView.ABSTRACT Background Misperception of body weight can negatively impact the weight management efforts of childhood cancer survivors (CCSs). Both being overweight or underweight are associated with chronic health conditions commonly observed in CCS; therefore, accurate weight perception is critical for reducing long‐term health risks.
Fabiën N. Belle +8 more
wiley +1 more source
Les friches militaires, une opportunité pour la reconversion urbaine de petites villes de montagne ?
Revue de Géographie Alpine, 2019 In a frame of limited land resources, mountain territories need to consider the reconversion of wastelands that have lost their functionality as potential source of attractiveness and dynamism.In a context of sustainable development that is also ...
Stéphanie Lotz-Coll
doaj +1 more source
Pediatric Blood &Cancer, EarlyView.ABSTRACT Background Neurotoxicity is a rare, often dose‐limiting adverse effect of methotrexate (MTX) therapy that disproportionally affects Latino children. Factors contributing to the observed disparity are not well understood. This study leveraged admixture mapping to identify genetic regions associated with MTX‐related neurotoxicity susceptibility ...
Rachel D. Harris +24 more
wiley +1 more source
Can leverage effect coexist with value effect?
IIMB Management Review, 2020 In this paper, we evaluate the cross sectional relationship between firm characteristics, financial leverage, and stock returns for the Indian stock market.
Moinak Maiti, A. Balakrishnan
doaj +3 more sources