Search Results - subject:"time‐varying beta"

Hedge fund systemic risk signals

Savona, Roberto - In: European journal of operational research : EJOR 236 (2014) 1, pp. 282-291

Persistent link: https://www.econbiz.de/10010361715

Risk and beta anatomy in the hedge fund industry

Savona, Roberto - In: The European journal of finance 20 (2014) 1/3, pp. 1-32

Persistent link: https://www.econbiz.de/10010462222

Market efficiency during the global financial crisis : empirical evidence from European banks

Choudhry, Taufiq; Jayasekera, Ranadeva - In: Journal of international money and finance 49 (2014), pp. 299-318

Persistent link: https://www.econbiz.de/10010465010

Time-varying beta and the subprime financial crisis : evidence from US industrial sectors

Hasnaoui, Habib; Fatnassi, Ibrahim - In: The journal of applied business research 30 (2014) 5, pp. 1465-1476

Persistent link: https://www.econbiz.de/10010470514

Estimating market risk using time-varying CAPM and structural break models in Indian banking sector

Jena, Sangram Kesari; Mitra, Amarnath; Tiwari, Aviral Kumar - In: The empirical economics letters : a monthly … 17 (2018) 4, pp. 505-511

Persistent link: https://www.econbiz.de/10011913245

Innovations in return transmission and performance comparison between the five biggest Euro area stock markets

Fonseca, José Soares da - In: International Economics and Economic Policy 10 (2013) 3, pp. 393-404

model with time-varying beta coefficients, which is the basis for the subsequent estimation of the transmission of …

Persistent link: https://www.econbiz.de/10010864989

EXPONENTIAL SMOOTHING TECHNIQUE IN CORRELATION STRUCTURE FORECASTING OF VISEGRAD COUNTRY INDICES

GLOVA, Jozef - In: Journal of Applied Economic Sciences Quarterly VIII (2013) 2, pp. 184-190

forecast, which enables us to model time-varying beta coefficient as a significant part of systematic risk That enables us to …

Persistent link: https://www.econbiz.de/10010747390

COUNTRY RISK MODELLING USING TIME-VARYING FUNDAMENTAL BETA APPROACH: A VISEGRAD GROUP COUNTRIES AND ROMANIA PERSPECTIVE

GLOVA, Jozef; PASTOR, Damián - In: Journal of Applied Economic Sciences Quarterly VIII (2013) 4, pp. 450-457

Financial instability is a recurring, macroeconomic phenomenon which has been manifesting itself in form of the Great Recession since 2007. The paper pursues the question of how financial instability affects the risk of a country. We discuss the relation of the risk of a particular country to...

Persistent link: https://www.econbiz.de/10010747393

Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach

Anton, Sorin Gabriel; Ochem, Marie - In: International Journal of Economic Policy in Emerging … 6 (2013) 2, pp. 107-121

of errors. Results indicate that BEKK models are appropriate on estimating time-varying beta for Czech Republic, Hungary … Romania and Hungary, time-varying beta increase was eliminated due to assistance of the International Monetary Fund during the …

Persistent link: https://www.econbiz.de/10010685427

Innovation in return transmission and performance comparison between the five biggest Euro area stock markets

Fonseca, José Soares da - In: International economics and economic policy : IEEP 10 (2013) 3, pp. 393-404

Persistent link: https://www.econbiz.de/10010197725