Results 81 to 90 of about 23,855 (188)
Cogent Economics & Finance, 2016 Our aim is to investigate the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (financial services, banking, and insurance) in eight countries, including various European, the US ...
Aloui Mouna, Jarboui Anis
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Entropy, 2015 In this paper, we propose a new entropy-optimized bivariate empirical mode decomposition (BEMD)-based model for estimating portfolio value at risk (PVaR). It reveals and analyzes different components of the price fluctuation.
Yingchao Zou, Lean Yu, Kaijian He
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Temporal aggregation of univariate and multivariate time series models: A survey [PDF]
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed.
Andrea Silvestrini, David Veredas
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Semiparametric multivariate GARCH models [PDF]
, 2003 This paper studies voting over quadratic taxation when income is fixed and taxation non distortionary. The set of feasible taxes is compact and self-interested voters have corner preferences. We first show that, if a majority winning tax policy exists, it involves maximum progressivity.
HAFNER, Christian, ROMBOUTS, Jeroen
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Digital Currencies: A Multivariate GARCH Approach
, 2020 In this paper we will present quantifiable linkages between five different cryptocurrencies, those being Bitcoin, Ethereum, Ripple, Dash and Monero. Initially, we conduct a review of the existing related work. As the concept of cryptocurrencies is fairly new, the relevant literature is very restricted.
Papangelou, Stamatis, Papadaki, Sofia
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The relationship between inflation, output growth, and their uncertainties: Nonlinear Multivariate GARCH-M evidence [PDF]
In this paper, we propose a nonlinear multivariate GARCH-M model. We have illustrated the actual modelling by applying the models to inflation and output growth variables and found that the effects of real and nominal uncertainties are regime-dependent ...
Tolga Omay
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, 2020 Bu çalışmada ,Risk hesaplamada kullanılan alternatif metodlar karşılaştırılmış ve IMKB 30 hisselerini içeren bir portföy belirli bir risk düzeyinde maximum getir sağlamasın için portföy oluşturan hisse senetlerinin hangi oranda dağıtılması gerektiğinin hesaplaması yapılmıştır.
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Asymmetric Multivariate Normal Mixture GARCH [PDF]
An asymmetric multivariate generalization of the recently proposed class of normal mixture GARCH models is developed. Issues of parametrization and estimation are discussed.
Mark S. Paolella +2 more
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Portfolio optimization when risk factors are conditionally varying and heavy tailed [PDF]
, 2006 Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment.
Doganoglu, Toker +2 more
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Pricing currency risk in the stock market: Empirical evidence from Finland and Sweden 1970-2009 [PDF]
We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates.
Jan Antell, Mika Vaihekoski
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