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-switching GARCH model with dynamic conditional correlations (MS-DCC-GARCH). Weekly return series for conventional (advanced and …
Persistent link: https://www.econbiz.de/10014941583
Purpose -Asset liability management is a multi-dimensional set of activities. Against this backdrop, the purpose of this paper is to build a goal programming model for optimally determining the asset allocation and liability composition for Indian Banks. Design/methodology/approach -The...
Persistent link: https://www.econbiz.de/10010795389
Purpose – This paper aims to provide upper‐level accounting and/or finance students with a review of the intricacies of option pricing, discounted cash flow (DCF) capital budgeting decision models, various types of real options, how risk analysis of long‐term capital investments can be...
Persistent link: https://www.econbiz.de/10014940183
Summarizes the main hypotheses used in previous research on dividend policy and reports a study of patterns in dividend payouts/growth using neural networks as a data mining technique. Discusses the properties of neural networks, recognizes that they are unsuitable for hypothesis testing and...
Persistent link: https://www.econbiz.de/10014940380
Purpose – Asset liability management is a multi-dimensional set of activities. Against this backdrop, the purpose of this paper is to build a goal programming model for optimally determining the asset allocation and liability composition for Indian Banks. Design/methodology/approach – The...
Persistent link: https://www.econbiz.de/10014941813
Purpose – This paper aims to provide upper-level accounting and/or finance students with a review of the intricacies of option pricing, discounted cash flow (DCF) capital budgeting decision models, various types of real options, how risk analysis of long-term capital investments can be...
Persistent link: https://www.econbiz.de/10009275391
VAR-GARCH model for each pair of indices is examined. Findings – The results provide evidence on strong EU equity market …
Persistent link: https://www.econbiz.de/10010814830
Persistent link: https://www.econbiz.de/10014939787
‐varying volatility. Design/methodology/approach – This study uses the GARCH technique to calculate the volatility metric with which VaR … (GARCH) approach is more robust and more reliable than the traditional methods. Pursuant to the banking regulation on market …
Persistent link: https://www.econbiz.de/10014940304
VAR‐GARCH model for each pair of indices is examined. Findings – The results provide evidence on strong EU equity market …
Persistent link: https://www.econbiz.de/10014941116