Zobrazeno 1 - 10
of 16
pro vyhledávání: '"Georges Tsafack"'
Publikováno v:
Pacific-Basin Finance Journal. 79:102029
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d2d864956b751c8b6a2a90473f8b520f
https://doi.org/10.1016/j.pacfin.2023.102029
https://doi.org/10.1016/j.pacfin.2023.102029
Autor:
James Cataldo, Georges Tsafack
Publikováno v:
Empirical Economics. 61:1351-1396
Financial institutions and regulators use value-at-risk (VaR) and related measures as a tool for financial risk management. It is therefore critical to appropriately assess the quality of VaR forecasts and reporting. The VaR estimation error creates
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f87d8d37abde5e4509b6a6a0c0a28f5c
https://doi.org/10.1007/s00181-020-01905-4
https://doi.org/10.1007/s00181-020-01905-4
Publikováno v:
SSRN Electronic Journal.
We investigate the implications of ambiguity aversion for retained earnings. We show that firms can eliminate distortions such as underinvestment by paying out earnings that maximizes shareholder wealth. We show that there is a negative relationship
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6561a9aa47d8b2f918956e1a9286f10b
https://doi.org/10.2139/ssrn.3762676
https://doi.org/10.2139/ssrn.3762676
Autor:
Georges Tsafack, Fulbert Tchana Tchana
Publikováno v:
Journal of Risk. 21:81-108
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ba23932de9258a5d17419ecaea1dd2a
https://doi.org/10.21314/jor.2018.403
https://doi.org/10.21314/jor.2018.403
Autor:
Lin Guo, Georges Tsafack
Publikováno v:
Journal of Behavioral and Experimental Finance. 31:100516
This paper examines how a firm’s corporate governance characteristics and institutional environment affect the presence of large foreign shareholding, and how a firm’s foreign ownership influences its performance. For a sample of listed Chinese c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e84699b0e981dbc6ec65fb351c04f3e8
https://doi.org/10.1016/j.jbef.2021.100516
https://doi.org/10.1016/j.jbef.2021.100516
Publikováno v:
The Journal of Fixed Income. 25:25-37
It is commonly agreed that the government is more likely to step in and rescue some troubled companies labeled as “too big to fail” or “too interconnected to fail.” Since there is no formal contract between these companies and the government,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a7da2651885ade4ae84c84ad30f89d7f
https://doi.org/10.3905/jfi.2015.25.2.025
https://doi.org/10.3905/jfi.2015.25.2.025
Autor:
René Garcia, Georges Tsafack
Publikováno v:
Journal of Banking & Finance. 35:1954-1970
Common negative extreme variations in returns are prevalent in international equity markets. This has been widely documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime-switching
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f684003b7a046ad1a4740346c9e1c671
https://doi.org/10.1016/j.jbankfin.2011.01.003
https://doi.org/10.1016/j.jbankfin.2011.01.003
Autor:
Georges Tsafack
Publikováno v:
The Journal of Derivatives. 17:7-20
Empirical evidence shows that asset returns appear to be more highly correlated on the downside than on the upside, particularly for equities. This is in addition to the well-established property that return variances vary over time. GARCH-type model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a366c2c4d12bd7a06aa0d5c005b095e
https://doi.org/10.3905/jod.2009.17.1.007
https://doi.org/10.3905/jod.2009.17.1.007
Publikováno v:
Management Science. 53:483-494
Value at risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999, Coherent measures of risk, Math. Finance 9(3) 203–228), VaR may not possess the subadditivity property required to be a coherent measure of risk. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3fee67635ac0a580aa208f282fd9c7c
https://doi.org/10.1287/mnsc.1060.0632
https://doi.org/10.1287/mnsc.1060.0632
The ability of a portfolio manager to deliver higher returns with relatively low risk is a fundamental issue in finance. We analyze here the performance of a portfolio manager under two different types of constraints. For a manager with private infor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::471cc4a6d25715d7fe2a170a7ee6e148
https://mpra.ub.uni-muenchen.de/43797/1/MPRA_paper_43797.pdf
https://mpra.ub.uni-muenchen.de/43797/1/MPRA_paper_43797.pdf
