Results 61 to 70 of about 1,114 (191)

Further evidence on the determinants of regional stock market integration in Latin America [PDF]

The European Journal of Comparative Economics, 2013
This paper employs a conditional version of the International Capital Asset Pricing Model (ICAPM) to investigate the determinants of regional integration of stock markets in the Latin America over the period 1996-2008. This model allows for three sources
Khaled Guesmi, Duc Khuong Nguyen, Frédéric Teulon   +2 more
doaj  

Modeling Different Sector Volatility of Iran Stock Exchange Using Multivariate GARCH Model [PDF]

تحقیقات مالی, 2012
This paper uses a multivariate GARCH model to simultaneously estimate the mean and conditional variance using daily returns among different Tehran sector indexes from Tir 1386 to Tir 1391. Since different financial assets are traded based on these sector
Esmaiel Abounoori, Mohammadreza Abdollahi   +1 more
doaj   +1 more source

Measuring the time‐varying market efficiency in the prewar and wartime Japanese stock market, 1924–1943

Asia‐Pacific Economic History Review, Volume 65, Issue 1, Page 131-159, March 2025.
Abstract This study examines the adaptive market hypothesis in the prewar and wartime Japanese stock market using a new market capitalization‐weighted price index. First, we find that the degree of market efficiency varies over time and with major historical events. This implies that the hypothesis is supported in this market.
Kenichi Hirayama, Akihiko Noda
wiley   +1 more source

Modeling Nonstationary Financial Volatility with the R Package tvgarch

Journal of Statistical Software
Certain events can make the structure of volatility of financial returns to change, making it nonstationary. Models of time-varying conditional variance such as generalized autoregressive conditional heteroscedasticity (GARCH) models usually assume ...
Susana Campos-Martins, Genaro Sucarrat
doaj   +1 more source

A Multivariate GARCH Model with Time-Varying Correlations [PDF]

SSRN Electronic Journal, 2000
In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an ...
Y.K. Tse, Albert K.C. Tsui
openaire   +3 more sources

Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape

European Financial Management, EarlyView.
ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai, Manolis G. Kavussanos, Stergiani Moysiadou   +2 more
wiley   +1 more source

Another Look at the (Ir)Relevance of Long‐Run Risks for Equity Risk Premia

Journal of Money, Credit and Banking, EarlyView.
Abstract I investigate the empirical asset pricing implications of a three‐factor macro model that extends the baseline consumption model Consumption Capital Asset Pricing Model (CCAPM) by adding the innovations in expected long‐run consumption growth (consumption growth news) and expected long‐run consumption variance (variance news) as risk factors ...
PAULO MAIO
wiley   +1 more source

Networks in Risk Spillovers: A Multivariate GARCH Perspective [PDF]

SSRN Electronic Journal, 2016
Abstract A spatiotemporal approach is proposed for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and a new bilateral Multivariate GARCH specification is introduced. The covariance stationarity and identification of the model is studied, developing the quasi-maximum-likelihood estimator and ...
Billio M., Caporin M., Frattarolo L., Pelizzon L.   +3 more
openaire   +4 more sources

A Conditional Tail Expectation Type Risk Measure for Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the estimation of the conditional expectation 𝔼(Xh|X0>UX(1/p)), provided 𝔼|X0|<∞, at extreme levels, where (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$ is a strictly stationary time series, UX$$ {U}_X $$ its tail quantile function, h$$ h $$ is a positive integer and p∈(0,1)$$ p\in \left(0,1\right) $$ is such that p→0$$ p\to ...
Yuri Goegebeur, Armelle Guillou, Jing Qin   +2 more
wiley   +1 more source