Download or read book An Alternative Conditional Asymmetry Specification for Stock Returns written by Kurt Brännäs and published by . This book was released on 2001 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Alternative Conditional Asymmetry Specification for Stock Returns written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Alternative Conditional Asymmetry Specification for Stock Returns written by Kurt Brannas and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are negatively correlated.
Download or read book An Alternative Conditional Asymmetric Specification Fro Stock Returns written by Kurt Brännäs and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Alternative Models for the Conditional Heteroscedasticity of Stock Returns written by Dongcheol Kim and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article compares econometric model specifications that have been proposed to explain the commonly observed characteristics of the unconditional distribution of daily stock returns. The empirical results indicate that the most likely ranking is (1) intertemporal dependence models, (2) Student t, (3) generalized mixture of normal distributions, (4) Poisson jump, and (5) the stationary normal. Among the intertemporal dependence models for conditional heteroscedasticity, those with a leverage (or asymmetry) effect are superior. The Glosten, Jagannathan, and Runkie specification is the most descriptive for individual stocks, while Nelson's exponential model is the most likely for stock indexes.
Download or read book Alternative Models of Asymmetric Volatility in Stock Returns written by Ludger Hentschel and published by . This book was released on 1994 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book ICEBE 2020 written by Darmawan Napitupulu and published by European Alliance for Innovation. This book was released on 2021-04-19 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Proceeding book presented the International Conference of Economics, Business & Entrepreneurship (ICEBE), which is an international conference hosted by Faculty of Economics & Business Universitas Lampung (FEB-UNILA) in collaboration with Magister Manajemen Teknologi Universitas Multimedia Nusantara. Total 50 full papers presented were carefully reviewed and selected from 85 submissions with the topics not limited to Finance, Accounting, Marketing and Digital Innovation. The ICEBE 2020 Conference was conducted virtually, on 01 October 2020 which had been attended by academics and researchers from various universities worldwide including practitioners with the theme Innovation and Sustainability in the Digital Age.
Download or read book Asymmetric Predictability of Conditional Variances written by Jennifer Conrad and published by . This book was released on 1990 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Relationship between Risk and Expected Return in Europe written by and published by Fundacion BBVA. This book was released on with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book There is a Risk return Tradeoff After All written by Eric Ghysels and published by . This book was released on 2004 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns %u2013 the Mixed Data Sampling (or MIDAS) approach. Using MIDAS, we find that there is a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process, and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the ICAPM based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance.
Download or read book The Conditional Relation Between Dispersion and Return written by Riza Demirer and published by . This book was released on 2013 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main goal of this paper is to examine the conditional pricing effect of return dispersion on the cross section of returns. We observe a systematic conditional relation between dispersion and return even after controlling for market, size and book-to-market factors. However, we find that return dispersion risk is asymmetrically priced with a significantly positive premium observed during periods of large market gains only. The findings are found to be robust to alternative conditional specifications of market returns, suggesting asymmetric pricing effect of the return dispersion factor. We provide alternative explanations for the systematic risk captured by the return dispersion factor and discuss implications for portfolio management and corporate decisions.
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Download or read book Computational Approaches to Economic Problems written by Hans M. Amman and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains a selection of papers presented at the first conference of the Society for Computational Economics held at ICC Institute, Austin, Texas, May 21-24, 1995. Twenty-two papers are included in this volume, devoted to applications of computational methods for the empirical analysis of economic and financial systems; the development of computing methodology, including software, related to economics and finance; and the overall impact of developments in computing. The various contributions represented in the volume indicate the growing interest in the topic due to the increased availability of computational concepts and tools and the necessity of analyzing complex decision problems. The papers in this volume are divided into four sections: Computational methods in econometrics, Computational methods in finance, Computational methods for a social environment and New computational methods.£/LIST£
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Download or read book Accounting Conservatism and the Stock Market written by Carlo D’Augusta and published by Springer Nature. This book was released on with total page 89 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finance India written by and published by . This book was released on 2003-07 with total page 896 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Asymmetry of Market Returns and Its Impact on the Mean Variance Frontier written by Jatikumar Sengupta and published by . This book was released on 1990 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
