Search Results - subject:"conditional volatility"

A conditional CAPM: implications for systematic risk estimation

Milionis, Alexandros - In: The Journal of Risk Finance 12 (2011) 4, pp. 306-314

Purpose – The purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the MM; to propose a simple...

Persistent link: https://www.econbiz.de/10014901580

Non Linearity and Heteroskedasticity Effect on Stock Returns Volatility

Kumar, Rakesh; Dhankar, Raj S. - In: Global Business Review 12 (2011) 2, pp. 319-329

return volatility. Further, this study also analyzes the relationship between stock returns and conditional volatility, and … correlation between stock returns and conditional volatility, however, the relationship between stock returns and standardized … for unexpected volatility. This study provides a robustness test of the conditional volatility and asymmetric impact of …

Persistent link: https://www.econbiz.de/10010773821

Modelling the asymmetric volatility in hog prices in Taiwan: The impact of joining the WTO

Chang, Chia-Lin; Huang, Biing-Wen; Chen, Meng-Gu; … - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1491-1506

Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily hog prices in Taiwan from 23 March 1999...

Persistent link: https://www.econbiz.de/10010870263

Risk management of precious metals

Hammoudeh, Shawkat; Malik, Farooq; McAleer, Michael - In: The Quarterly Review of Economics and Finance 51 (2011) 4, pp. 435-441

This paper examines volatility and correlation dynamics in price returns of gold, silver, platinum and palladium, and explores the corresponding risk management implications for market risk and hedging. Value-at-Risk (VaR) is used to analyze the downside market risk associated with investments...

Persistent link: https://www.econbiz.de/10010868872

BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets.

Bianconi, Marcelo; Yoshino, Joe A.; Sousa, Mariana O. … - Department of Economics, Tufts University - 2011

We examine empirical evidence of the behavior of stocks and bonds from BRIC nations using daily data from January 2003 to July 2010. We present unconditional and conditional emprical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bonds markets deviate...

Persistent link: https://www.econbiz.de/10010535573

Nonparametric modeling of carbon prices

Chevallier, Julien - In: Energy Economics 33 (2011) 6, pp. 1267-1282

in the conditional mean functions. Second, the conditional volatility functions reveal an asymmetric and heteroskedastic …

Persistent link: https://www.econbiz.de/10010576110

Stock markets and terrorist attacks: Comparative evidence from a large and a small capitalization market

Kollias, Christos; Manou, Efthalia; Papadamou, Stephanos; … - In: European Journal of Political Economy 27 (2011) S1, pp. 64-64

event study methodology as well as from conditional volatility models suggest that size and maturity as well as specific …

Persistent link: https://www.econbiz.de/10010577674

A conditional CAPM: implications for systematic risk estimation

Milionis, Alexandros - In: Journal of Risk Finance 11 (2011) August, pp. 306-314

Persistent link: https://www.econbiz.de/10010610659

The effect of financial liberalization on stock-return volatility in GCC markets

Bley, Jorg; Saad, Mohsen - In: Journal of International Financial Markets, … 21 (2011) 5, pp. 662-685

We estimate a cross-sectional time-series model to assess the impact of equity market liberalization and capital account openness on individual-firm stock return volatility in GCC (Gulf Cooperation Council) markets. We document evidence that international participation in local trades has no...

Persistent link: https://www.econbiz.de/10010572104

Return and volatility spillovers: evidence from Indian exchange rates

Kumar, Manish - In: International Journal of Economics and Business Research 3 (2011) 4, pp. 371-387

contemporaneous relationships among the three exchange rate returns series and the three conditional volatility series. Spillover …

Persistent link: https://www.econbiz.de/10009352440