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On the integration of European capital markets

Alexakis, Panayotis; Vasila, Anna - In: Managerial Finance 39 (2013), pp. 825-836

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

Volatility of stock returns: emerging and mature markets

A. Michelfelder, Richard; Pandya, Saurin - In: Managerial Finance 31 (2005) 2, pp. 66-86

Persistent link: https://www.econbiz.de/10014939787

VaR and time‐varying volatility: a comparative study of three international portfolios

Obi, Pat; Sil, Shomir - In: Managerial Finance 39 (2013) 7, pp. 625-640

‐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

On the integration of European capital markets

Alexakis, Panayotis; Vasila, Anna - In: Managerial Finance 39 (2013) 9, pp. 825-836

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

VaR and time-varying volatility: a comparative study of three international portfolios

Obi, Pat; Sil, Shomir - In: Managerial Finance 39 (2013), pp. 625-640

-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/10010691530

VaR and time-varying volatility: a comparative study of three international portfolios

Obi, Pat; Sil, Shomir - In: Managerial Finance 39 (2013), pp. 625-640

Persistent link: https://www.econbiz.de/10010709754

Corporate foreign exchange speculation and integrated risk management

Aabo, Tom; Hansen, Marianna Andryeyeva; Pantzalis, Christos - In: Managerial Finance 38 (2012) August, pp. 729-751

Purpose – The purpose of this paper is to investigate how non-finance departmental involvement in the management of exchange rate risks impacts the extent of foreign exchange speculation in non-financial firms. Design/methodology/approach – Non-financial firms in a small open economy...

Persistent link: https://www.econbiz.de/10010814889

Volatility in currency markets

Kazantzis, C.I.; Tessaromatis, N.P. - In: Managerial Finance 27 (2001) 6, pp. 1-22

prices; and is better than GARCH‐based or historic volatility forecasts for horizons up to three months; but can be a biased …

Persistent link: https://www.econbiz.de/10014939557

Investigating the profitability of technical analysis systems on foreign exchange markets

Papadamou, Stephanos; Tsopoglou, Stavros - In: Managerial Finance 27 (2001) 8, pp. 63-78

Reviews previous research on exchange rate forecasting, identifies some problems in building a predictive model and examines the profitability of using various technical rules (as used by traders) in the USD/DM and USD/BP foreign exchange markets. Takes 1989‐1996 data, divided into two...

Persistent link: https://www.econbiz.de/10014939571

The euro’s progress: macroeconomic consequences of a single currency

Soper, John C. - In: Managerial Finance 27 (2001) 9, pp. 3-11

Puts the decline of the euro’s value following its introduction down to rapid US economic growth and the expansionary policies of the European Central Bank. Contrasts popular UK opposition to joining the euro with business pressure to do so, and suggests that the five stated conditions for...

Persistent link: https://www.econbiz.de/10014939573