[PDF] Top 20 Asymmetric conditional volatility in international stock markets
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Asymmetric conditional volatility in international stock markets
... shock in stock prices will generate more volatil- ity than a positive shock of similar ...the conditional mean and the conditional variance of stock returns are asymmetric ... See full document
13
Modeling and Forecasting Volatility of the Malaysian Stock Markets
... limitation in the modeling of high-frequency (weekly, daily or intra-daily) ...assumption in practice. This fact is particularly obvious in series of financial data where clusters of ... See full document
7
Sovereign credit ratings, market volatility, and financial gains
... American stock markets using a simultaneous equation system with GARCH errors that captures variance ...American stock markets, and they identified mean relations and variance ...of ... See full document
53
Stock Volatility Modelling with Augmented GARCH Model with Jumps
... present in the data; volatility changes over time; distribution of the data is heavy-tailed, asymmetric and therefore not ...Engle in 1982 [2]. In the model it is supposed that the ... See full document
9
Sovereign credit ratings, market volatility, and financial gains
... American stock markets using a simultaneous equation system with GARCH errors that captures variance ...American stock markets, and they identified mean relations and variance ...of ... See full document
53
Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries
... undertake international studies and show that this market anomaly is recently becoming weaker, particularly in developed ...effect in stock market returns in fifteen European countries ... See full document
32
FLEXIBLE MULTIVARIATE GARCH MODELING WITH AN APPLICATION TO INTERNATIONAL STOCK MARKETS
... Diagonal BEKK GARCH: Engle and Kroner (1995) proposed a class of multivariate GARCH models that are guaranteed to produce positive definite conditional covari- ance matrices.. In its fu[r] ... See full document
14
ARTIFICIAL NEURAL NETWORKS - AN APPLICATION TO STOCK MARKET VOLATILITY
... that volatility in a rising market is less than the volatility in a falling ...fall in the value of a firm’s stock causes the debt to equity ratio to rise which in turn ... See full document
10
Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
... Brazilian stock market is explored from the point of view of the behavior of a group of stocks that were frequently present in the Sao Paulo Stock Exchange Index (Ibovespa) in the period ... See full document
19
Asset float and speculative bubbles
... implications consistent with the behavior of internet stock prices during the late nineties, such as the bubble, share turnover and volatility decreasing with ftoat and stock prices[r] ... See full document
42
Excess volatility of stock prices and knightian uncertainty
... we suggest this type of behaviour under uncertainty as a possible explanation of the high volatility of stock market prices.!. Since variances art: non- nega tive and th[r] ... See full document
16
V ALUE VERSUS GROWTH IN THE PIIGS STOCK MARKETS R
... earnings in investment performance, Banz (1981) on size effect, Keim (1983) on seasonal effects, DeBondt and Thaler (1985) on behavior and psychologic individual decision making and Piotroski (2000) on the usage ... See full document
47
RAM, Rev. Adm. Mackenzie vol.17 número5
... developed in order to help minority sharehol- ders avoid losses and to improve the disclosure of information and protection of investors, especially ...the asymmetric information between managers and ... See full document
25
International portfolio diversification: United States and south Asian equity markets
... US stock markets, covering the time frame of (1 st of July 1997 to 1 st of August 2011), a total of 723 observations of 14 years (168 ...Karachi Stock Ex- change, the largest and oldest stock ... See full document
12
Efficiency in stock markets with DEA: evidence from PSI20
... relies in the facility of calculating an overall efficiency score based on financial data, to examine different aspects of financial conditions and financial performance simultaneously rather than ...sequentially. ... See full document
5
Tests of conditional asset pricing models in the brazilian stock market
... The author tests a dynamic factor asset pricing model in which the risk loadings are measured with respect to the world market return in excess of a risk-free asset returno The re[r] ... See full document
37
Prerequisites of the Passage to a Regime of Inflation Targeting
... capital markets stresses the effects of fiscal ...difficulties in accessing the international capital markets, with a reduced level of saving and a financial system lacking depth, limit the ... See full document
8
BAR, Braz. Adm. Rev. vol.7 número1
... sequentially in the host country are associated with the performance of their overseas ...established in Brazil, the results provide theoretical and practical implications showing that experiential ... See full document
20
A family of autoregressive conditional duration models
... seen in Table ...the asymmetric logarithmic ACD model with b = 1 proposed by Dufour and Engle ...figures in Table 4 are much rosier: There is indeed no clear rejec- tion, though we find a borderline ... See full document
31
Precificação da opção de recompra nas operações de venda descoberta: abordagem empírica...
... In Brazil, share owners entitled to capital interest payments, usually taxed by 15%, make an arbitrage gain by loaning shares to a mutual fund. Mutual funds pay taxes at another instance (liquidation day), ... See full document
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