Search Results - subject:"conditional variance"

The shareholder value and diversification puzzle

Marinelli, Federico - IESE Business School, Universidad de Navarra - 2010

Diversified firms are supposed to be valued less than the sum of their parts because of the diversification discount, but subsequent research has found that the relationship between diversification and shareholder value is not causal. We analyze the relationship between diversification and...

Persistent link: https://www.econbiz.de/10008641482

A smoothed : distribution form of Nadaraya - Watson estimation

Bailey, Ralph W.; Addison, John T. - 2010

Persistent link: https://www.econbiz.de/10009374192

Probabilistic Models of Yield, Price, and Revenue Risks for Fed Cattle Production

Belasco, Eric J.; Taylor, Mykel R.; Goodwin, Barry K.; … - 2009

Cattle feeding enterprises operate amid variability originating in prices and production. Thisresearch explicitly models yield risks related to cattle feeding by relating the mean and varianceof yield performance factors to observable conditioning variables. The results demonstratethat pen...

Persistent link: https://www.econbiz.de/10009444653

On the GCC Currency Union

Razzak, Weshah - 2009

(the conditional variance) are equal across countries. …

Persistent link: https://www.econbiz.de/10011496102

Probabilistic Models of Yield, Price, and Revenue Risks for Fed Cattle Production

Belasco, Eric J.; Taylor, Mykel R.; Goodwin, Barry K.; … - In: Journal of Agricultural and Applied Economics 41 (2009) 01

Cattle feeding enterprises operate amid variability originating in prices and production. This research explicitly models yield risks related to cattle feeding by relating the mean and variance of yield performance factors to observable conditioning variables. The results demonstrate that pen...

Persistent link: https://www.econbiz.de/10005469215

Forecasting electricity spot market prices with a k-factor GIGARCH process

Diongue, Abdou Kâ; Guegan, Dominique; Vignal, Bertrand - HAL - 2009

-factor GIGARCH process. We are particularly interested in calculating the conditional variance of the prediction error. We apply this …

Persistent link: https://www.econbiz.de/10010738481

The Effects of Interest Rate Movements on Assets’ Conditional Second Moments

Palandri, Alessandro - School of Economics and Management, University of Aarhus - 2009

of the 165 conditional variances and 13530 conditional correlations. Keywords: Conditional Variance, Conditional … studies have investigated the link between the conditional variance of fi- nancial returns and exogenous explanatory variables … conditional expectation and the conditional variance of the stochastic discount factor. Through the well established inverse rela …

Persistent link: https://www.econbiz.de/10005037436

On the GCC Currency Union

Razzak, Weshah - Economics and Econometrics Research Institute (EERI) - 2009

(the conditional variance) are equal across countries. …

Persistent link: https://www.econbiz.de/10008567697

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10005115605

On the GCC currency union

Razzak, Weshah A. - 2009

(the conditional variance) are equal across countries. …

Persistent link: https://www.econbiz.de/10011523971