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Volatility of the returns and expected losses of Islamic bank financing [PDF]
PurposeThe paper attempts to analyze the volatility of returns and expected losses of Islamic bank financing. In particular, it takes the case of Indonesian Islamic banking industry.Design/methodology/approachThe paper uses Value at Risk (VaR) approach to compute the volatility (risk) of returns and expected losses of Islamic bank financing.
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, 2011
This paper addresses the question whether the Islamic indexes are more or less affected by sudden changes in volatility regimes than the “conventional” counterparts.
Amélie Charles, Olivier Darné, A. Pop
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This paper addresses the question whether the Islamic indexes are more or less affected by sudden changes in volatility regimes than the “conventional” counterparts.
Amélie Charles, Olivier Darné, A. Pop
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Behavioral Finance: Volatility in Financial Markets
Bulletin of Chelyabinsk State University, 2021N. A. Balysheva, N. V. Kim
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A Macro Finance Term Structure Model with Stochastic Volatility
SSRN Electronic Journal, 2007This paper proposes a term structure model with macro VAR in a stochastic volatility setting. The specific feature of this model is that the risk premium of yields is directly driven by the time-varying variance-covariance of the VAR innovations, which is modeled by a Wishart Autoregressive process. Extending the essentially affine term structure model,
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Trends and Volatility in School Finance
American Journal of Agricultural Economics, 2009Mary Clare Ahearn+2 more
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Utilizing Topographic Finance to Understand Volatility (Presentation Slides)
SSRN Electronic Journal, 2016Topographic finance is the study of surfaces to describe financial systems in multiple dimensions. The problem with finance and economics is to describe accurately what is actually governing price dynamics. The price dynamics are behavioral and do not exhibit a rational maximization of a utility function.
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Behavioral Finance and Its Implications for Stock-Price Volatility
Financial Analysts Journal, 1998An increasing number of academic and professional articles are being published about research on and potential applications of behavioral finance. This article offers a more complete picture of the origin, content, and rationale behind this emerging area of study than previously presented.
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Journal of Purchasing and Supply Management, 2019
R. Pellegrino, N. Costantino, D. Tauro
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R. Pellegrino, N. Costantino, D. Tauro
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A multiscale stochastic volatility model in mathematical finance
2011An explicitly solvable multiscale stochastic volatility model that generalizes the Heston model has been introduced and studied.
L. Fatone+3 more
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Which uncertainty is powerful to forecast crude oil market volatility? New evidence
International Journal of Finance and Economics, 2022Xiafei Li, Yu Wei, Xiaodan Chen
exaly