Showing 1 - 10 of 22
The higher moments of a distribution often lead to estimated value-at-risk (VaR) biases. This study's objective is to examine the backtesting of VaR models that consider the higher moments of the distribution for minimum-variance hedging portfolios (MVHPs) of the stock indices and futures in the...
Persistent link: https://www.econbiz.de/10010931025
This investigates the influence of major electoral information on abnormal returns around the announcement date in the developed stock market and examines whether these explanatory variables are associated with observed cumulative abnormal returns using a regression analysis. The analytical...
Persistent link: https://www.econbiz.de/10008498854
Persistent link: https://www.econbiz.de/10010556981
Persistent link: https://www.econbiz.de/10009391085
Persistent link: https://www.econbiz.de/10009396570
Persistent link: https://www.econbiz.de/10012211476
Persistent link: https://www.econbiz.de/10012122860
This paper tries to clarify whether change in political regime has an effect on the behaviour of the stock market in Japan. The empirical study finds that the transition of ruling party effect is not a crucial variable to the Nikkei 225. The alienation felt by the Japanese about the political...
Persistent link: https://www.econbiz.de/10005475604
This paper proposes a four-regime bivariate Markov regime-switching model to estimate the daily time-varying minimum variance hedge ratios for West Texas Intermediate (WTI) crude oil, and evaluates its in- and out-of-sample hedging performances with two-regime model, CC-GARCH, TVC-GARCH, and OLS...
Persistent link: https://www.econbiz.de/10010808592
This investigation integrates a novel hybrid asymmetric volatility approach into an Artificial Neural Networks option-pricing model to upgrade the forecasting ability of the price of derivative securities. The use of the new hybrid asymmetric volatility method can simultaneously decrease the...
Persistent link: https://www.econbiz.de/10010873706