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Volatility Modeling and Forecasting for Banking Stock Returns

Murari, Krishna - 2013

In this paper, an attempt has been made to model and forecast the short term volatility of the Indian banking sector. A … 2000; a total of 3122 observations up to the period of June 2013, are used in modeling the volatility of the banking stock …-Rissanen. As per the analysis, ARIMA (1,0,2) model was found to be the best fit to forecast the volatility of bank stock returns …

Persistent link: https://www.econbiz.de/10013071650

The interaction between risk, return-risk trade-off and complexity: Evidence and policy implications for US bank holding companies

McMillan, David G.; McMillan, Fiona J. - In: Journal of international financial markets, … 47 (2017), pp. 103-113

Persistent link: https://www.econbiz.de/10011892256

Big banks, idiosyncratic volatility, and systemic risk

Fernholz, Ricardo T.; Koch, Christoffer - In: The American economic review 107 (2017) 5, pp. 603-607

Persistent link: https://www.econbiz.de/10011786211

Risks in banks and its impact on volatility of market returns : an empirical approach

Singh, Prakash; Kumar, Sukriti - In: International journal of Indian culture and business … 17 (2018) 2, pp. 125-138

Persistent link: https://www.econbiz.de/10011960165

Understanding reputational risks : the impact of ESG events on European banks

Akyildirim, Erdinc; Corbet, Shaen; Ongena, Steven; … - 2024

Persistent link: https://www.econbiz.de/10015102029

Effects of regulatory policies on bank-specific risk and financial stability

Ludolph, Melina - 2021

Persistent link: https://www.econbiz.de/10013326457

ROE in banks : performance or risk measure? : evidence from financial crises

Moussu, Christophe; Petit-Romec, Arthur - In: Finance : revue de l'Association Française de Finance 38 (2017) 2, pp. 95-133

Persistent link: https://www.econbiz.de/10011892239

The ABA top performing banks in a time of financial crisis : can they outpeform th worst?

Filbeck, Greg; Preece, Dianna C.; Zhao, Xin - In: Banking and finance review 8 (2016) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011633756

Implications of loan portfolio concentration for banks' credit risk and return : evidence from Hong Kong

Ho, Kevin; Li, Ka Fai; Tan, Edward - 2018

Persistent link: https://www.econbiz.de/10012202804

The determinants of bank's stock volatility

Topaloğlu, Emre Esat; Sakur, Reşat; Yaman, Serdar - In: Evoluation of money, banking and financial crisis : …, (pp. 323-338). 2020

Persistent link: https://www.econbiz.de/10012802552

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