Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Babatunde Odusami"'
Publikováno v:
Review of Quantitative Finance and Accounting. 58:1709-1740
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::24f5b098b4c59aafbe528d28b5e0532f
https://doi.org/10.1007/s11156-021-01036-6
https://doi.org/10.1007/s11156-021-01036-6
Publikováno v:
Commodities ISBN: 9781003265399
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::03a19d2b82ec6216b0436bd63ce49abc
https://doi.org/10.1201/9781003265399-20
https://doi.org/10.1201/9781003265399-20
Publikováno v:
Journal of Real Estate Portfolio Management. 26:9-26
In this study, it is determined whether changes in a set of financial and macroeconomic state variables explain the variations in the conditional systematic, idiosyncratic, and total skewness of si...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::38a00f573288ed077a85cf9a0e95912b
https://doi.org/10.1080/10835547.2020.1827623
https://doi.org/10.1080/10835547.2020.1827623
Autor:
Babatunde Odusami
Publikováno v:
The North American Journal of Economics and Finance. 58:101426
This paper examines jump risk in the time series of Real Estate Investment Trusts (REITs). Using high-frequency index-level and firm-level data, the econometric model in this paper integrates jumps into the volatility forecast by estimating jump augm
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87bff61ce6ae6151ebf706cdf4026f28
https://doi.org/10.1016/j.najef.2021.101426
https://doi.org/10.1016/j.najef.2021.101426
Publikováno v:
Financial Mathematics, Volatility and Covariance Modelling
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48fbd9d62de11403f376ffa19ca0a114
https://doi.org/10.4324/9781315162737-2
https://doi.org/10.4324/9781315162737-2
Publikováno v:
Energy Economics. 50:264-272
This study investigates the role of VIX in determining the returns and return volatilities of oil, heating oil, gasoline, and natural gas. A double threshold GARCH(1,1) methodology is utilized where the VIX index is used as the threshold regime chang
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6a7eeebac596e47b3361b9ee775677c
https://doi.org/10.1016/j.eneco.2015.05.013
https://doi.org/10.1016/j.eneco.2015.05.013
Publikováno v:
Quantitative Finance. 16:151-167
This study examines the role of higher order moments in the returns of four important metals, aluminium, copper, gold and silver, using the asymmetric GARCH (AGARCH) model with a conditional skewed generalized-t (SGT) distribution. Implications of hi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0740c28184ad6c300ddcf1d71dbdafc3
https://doi.org/10.1080/14697688.2015.1019357
https://doi.org/10.1080/14697688.2015.1019357
Publikováno v:
Quantitative Finance. 13:593-612
We investigate the association between the stock return distributions of 10 major U.S. sectors and oil returns within a double-threshold FIGARCH model. This model nests GARCH, IGARCH and Fama–French specifications as its special cases and allows a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb6a15703d8a2f876ec751f760d0227c
https://doi.org/10.1080/14697688.2012.721562
https://doi.org/10.1080/14697688.2012.721562
Publikováno v:
Journal of Economics and Business. 64:287-305
This study examines the returns and the long-memory properties of the return volatilities of four metals – copper, gold, platinum, and silver. Daily returns for the January 4, 1999 to March 10, 2009 period are used. Three key issues are addressed:
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dedce3ce07e9308dccb3d1d3fa5b7552
https://doi.org/10.1016/j.jeconbus.2012.03.001
https://doi.org/10.1016/j.jeconbus.2012.03.001
Publikováno v:
Energy Economics. 33:966-974
We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the GARCH (1,1) technique. We find strong evidence in support of the view that oil price f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d3fc792996c9228a2c35c9c508894fa6
https://doi.org/10.1016/j.eneco.2011.03.013
https://doi.org/10.1016/j.eneco.2011.03.013