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Stock Returns and Risk: Evidence from Quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10010699160

Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 78-114

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

Persistent link: https://www.econbiz.de/10010699169

Volatilidad de la inflación y crecimiento del producto: el caso de México

Cermeño, Rodolfo; Vasquez Feregrino, Nahieli - Centro de Investigación y Docencia Económicas (CIDE) - 2012

This paper investigates empirically the relationship between inflation, inflation volatility and output growth in the … the hypotheses that inflation rates are directly related to inflation volatility, and that inflation volatility affects … negatively output growth. It is found that higher inflation rates are associated to higher inflation volatility which in turn …

Persistent link: https://www.econbiz.de/10010699626

Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?

Andraz, Jorge; Norte, Nélia - Centro de Estudos e Formação Avançada em Gestão e … - 2013

associated with higher volatility and significant leverage effects. The estimated impacts of negative and positive shocks amount …

Persistent link: https://www.econbiz.de/10010699750

The Two-sided Weibull Distribution and Forecasting Financial Tail Risk

Chen, Qian; Gerlach, Richard - Business School, University of Sydney - 2011

Value at Risk (VaR) and conditional VaR. A range of conditional return distributions are combined with four volatility …

Persistent link: https://www.econbiz.de/10010699865

THE DAY-OF-THE-WEEK EFFECT ON BUCHAREST STOCK EXCHANGE

PANAIT, Iulian; UZLAU, Carmen Marilena; ENE, Corina Maria - In: Internal Auditing and Risk Management 1 (2013) 29, pp. 24-37

This study investigates the presence on Bucharest Stock Exchange of one of the most documented seasonal anomalies of financial assets’ returns: the day-of-the-week effect. We use daily returns for five Romanian official exchange indices and for one MSCI Barra country index during May...

Persistent link: https://www.econbiz.de/10010700208

Effects of the trilemma policies on inflation, growth and volatility in Norway

Hsing, Yu - In: International Journal of Economics and Business Research 6 (2013) 4, pp. 411-418

causes the inflation rate and inflation volatility to decline. More monetary independence does not affect inflation, growth … and volatility. …

Persistent link: https://www.econbiz.de/10010700698

Speed of Convergence to Market Efficiency: Example of Top loser Stocks

Huang, Han-Ching; Su, Yong-Chern; Shih, Chun-Chi - In: International Journal of Economics and Financial Issues 3 (2013) 3, pp. 591-601

efficiency. A time-varying GARCH model is employed to examine the relation between order imbalance and volatility. The …

Persistent link: https://www.econbiz.de/10010701154

Oil Exporters’ Dilemma: How Much to Save and How Much to Invest

Cherif, Reda; Hasanov, Fuad - In: World Development 52 (2013) C, pp. 120-131

, and investment in the face of high income volatility. We study this allocation problem in a precautionary saving and …

Persistent link: https://www.econbiz.de/10010703134

Modeling natural gas market volatility using GARCH with different distributions

Lv, Xiaodong; Shan, Xian - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 22, pp. 5685-5699

In this paper, we model natural gas market volatility using GARCH-class models with long memory and fat … the stylized fact of fat-tail distributions into account. Second, we forecast volatility of basis defined as the price …

Persistent link: https://www.econbiz.de/10010703192