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Small firm effects in the UK stock market

Chelley-Steeley, Patricia L. - 1995

This thesis will be concerned with investigating the empirical characteristics of stock returns,forUKfirms which are distinguished by market value. The primary aimof thisworkis to identifywhether there are differences between the behaviour of large and small firm retums.A substantial amount of...

Persistent link: https://www.econbiz.de/10009461273

Akcijų rinkos kainas sąlygojančių fundamentaliųjų veiksnių tyrimas ekonomikos pokyčių kontekste

Dukavičiūtė, Živilė - 2011

Darbo objektas – fundamentaliųjų veiksnių poveikis akcijų rinkos kainoms.Darbo tikslas – nustatyti fundamentaliųjų veiksnių poveikį akcijų kainoms skirtingais ekonomikos laikotarpiais Lietuvos akcijų rinkoje.Darbo uždaviniai:1. Išanalizuoti ir susisteminti akcijų kainų teorijas...

Persistent link: https://www.econbiz.de/10009478764

Crude oil and stock markets : stability, instability, and bubbles

Millar, J. Isaac; Ratti, Ronald A. - 2009

We analyze the long-run relationship between the world price of crude oil and international stock markets over 1971:1?2008:3 using a cointegrated vector error correction model with additional regressors. Allowing for endogenously identified breaks in the cointegrating and error correction...

Persistent link: https://www.econbiz.de/10009482253

Pricing Options on Commodity Futures: The Role of Weather and Storage

Bozic, Marin; Fortenbery, T. Randall - 2011

the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation … is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for … skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that …

Persistent link: https://www.econbiz.de/10009444328

Parametric properties of semi-nonparametric distributions, with applications to option valuation

León, Angel M.; Mencía González, Javier; Sentana, Enrique - 2007

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....

Persistent link: https://www.econbiz.de/10012530160

Distributional tests in multivariate dynamic models with normal and student t innovations

Mencía González, Javier; Sentana, Enrique - 2010

corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …

Persistent link: https://www.econbiz.de/10012530297

Leverage and deepening business cycle skewness

Jensen, Henrik; Petrella, Ivan; Ravn, Søren Hove; … - 2017

Documentamos que la economía de Estados Unidos se ha caracterizado por una asimetría del ciclo económico cada vez más negativa durante las últimas tres décadas. Este hallazgo puede explicarse por el aumento del apalancamiento financiero de hogares y empresas. Para mostrar esto, diseñamos...

Persistent link: https://www.econbiz.de/10012530573

Does the added worker effect matter?

Guner, Nezih; Kulikova, Yuliya; Valladares-Esteban, Arnau - 2021

’s. Without the AWE, married women’s employment would be as volatile as men and display negative skewness (declining quickly in …

Persistent link: https://www.econbiz.de/10012548668

Skewed SVARs: tracking the structural sources of macroeconomic tail risks

Montes-Galdón, Carlos; Ortega, Eva

structural shocks (SVAR) that are identified using sign restrictions and whose distribution is subject to time-varying skewness … variation in the skewness of demand, supply and monetary policy shocks between 1999 and 2019. This variation lies behind a …

Persistent link: https://www.econbiz.de/10013164784