Showing 1 - 10 of 387
In this paper a number of alternative ACD models are compared using a sample of data for three major companies traded on the Australian Stock Exchange. The comparison is performed by employing the methodology for evaluating density and interval forecasts, developed by Diebold, Gunther and Tay...
Persistent link: https://www.econbiz.de/10009642866
In this paper we model intra-daily seasonality in the shape of the residual distribution of the standard ACD model, which is estimated using diurnally (seasonally) adjusted duration data. Specifically, for two of the three companies in our sample, the shapes of the residual distribution for...
Persistent link: https://www.econbiz.de/10009642868
This paper compares two different strategies for managing interest rate exposure. One involves maintaining a borrowing portfolio using short and long term debt lines in order to maintain an average borrowing cost. The second involves using interest rate caps to manage exposure to interest rate...
Persistent link: https://www.econbiz.de/10009642879
There are few studies of take over effects in emerging stock markets and of whether such events result in value-increasing or value-decreasing effects for the successful targets and bidders. This study analyses the impact of successful takeovers on the Stock Exchange of Thailand (SET). Both...
Persistent link: https://www.econbiz.de/10009642880
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London...
Persistent link: https://www.econbiz.de/10011403543
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011586699
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...
Persistent link: https://www.econbiz.de/10011843238
Persistent link: https://www.econbiz.de/10009958963
We apply a novel Quantile Monte Carlo (QMC) model to measure extreme risk of various European industrial sectors both prior to and during the Global Financial Crisis (GFC). The QMC model involves an application of Monte Carlo Simulation and Quantile Regression techniques to the Merton structural...
Persistent link: https://www.econbiz.de/10013113757