Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Jacek Niklewski"'
Publikováno v:
Copernican Journal of Finance & Accounting, Vol 4, Iss 2, Pp 9-25 (2015)
The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which re
Externí odkaz:
https://doaj.org/article/1af07f8b91ec4474aba4d77addd19b53
Publikováno v:
Annals of Operations Research. 306:209-245
We investigate the nature of the relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) by examining how it changes across a third dimension that accounts for firm-specific factors. We propose a semi-late
Publikováno v:
Annals of Operations Research
Annals of Operations Research, Springer Verlag, 2021, 304 (1-2), pp.165-197. ⟨10.1007/s10479-021-04085-1⟩
Annals of Operations Research, Springer Verlag, 2021, 304 (1-2), pp.165-197. ⟨10.1007/s10479-021-04085-1⟩
Summarization: Previous literature is rather inconclusive concerning the impact of state ownership on banks. We report that its overall impact is not monotonic as it has so far been implicitly assumed, and that it depends on a contemporaneous conflic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b876436015ddb372c08ad70d440e286f
https://hal.archives-ouvertes.fr/hal-03317995
https://hal.archives-ouvertes.fr/hal-03317995
Publikováno v:
Research in International Business and Finance. 45:54-61
This paper contributes to the literature by extending the interpretation of financial contagion beyond that of the market correlation approach popularised by Forbes and Rigobon (2002). Contagion is explored from the perspective of its impact on the c
Publikováno v:
Expert Systems with Applications. 160:113637
A major challenge in automating the production of a large number of forecasts, as often required in many business applications, is the need for robust and reliable predictions. Increased noise, outliers and structural changes in the series, all too c
Publikováno v:
Copernican Journal of Finance & Accounting, Vol 4, Iss 2, Pp 9-25 (2015)
The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which re
Publikováno v:
Economic Modelling. 37:518-530
This paper investigates the impact of the 2007 financial crisis on the relationship between real mortgage interest rates and real house prices. It applies a dynamic conditional correlation based methodology that uses fractionally differenced data alo
Autor:
Jacek Niklewski, Keith Redhead
Publikováno v:
The Journal of Wealth Management. 16:31-42
The article begins with a literature review concerning the argument that the relative risk of equities declines as the time horizon lengthens, as measured by the probability of equity returns outperforming cash and bond returns. Time diversification
Publikováno v:
SSRN Electronic Journal.
We investigate the nature of the relationship between Corporate Social Responsibility (CSR) and Corporate Financial Performance (CFP) by examining how it changes across a third dimension that accounts for firm-specific factors. We propose a semi-late
This chapter explores the differences in diversification benefits attributable to individual regional frontier markets. We estimate time-varying correlations using a DCC–MGARCH–based copula model and examine the risk–return relationship using a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::44bf67c9173d10122c5ce74636dfde65
https://doi.org/10.1016/b978-0-12-809200-2.00009-9
https://doi.org/10.1016/b978-0-12-809200-2.00009-9