Zobrazeno 1 - 10
of 94
pro vyhledávání: '"Taufiq Choudhry"'
Publikováno v:
International Journal of Forecasting. 39:503-518
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc9259c1782f483987dc52039ca7ee1e
https://doi.org/10.1016/j.ijforecast.2021.12.014
https://doi.org/10.1016/j.ijforecast.2021.12.014
Publikováno v:
European Journal of Operational Research.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f2ef2c3f10d2fdf16c03d52e368d6dec
https://doi.org/10.1016/j.ejor.2023.05.016
https://doi.org/10.1016/j.ejor.2023.05.016
Autor:
Taufiq Choudhry
PurposeThis paper empirically investigates the effect of economic policy uncertainty (EPU) on the UK money demand stability during the inter-war period (1920–1938). Both a narrow definition (M0) and a broad definition (M3) of money are investigated
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7a54b20ba85ef6ac26ce6704892361d2
https://eprints.soton.ac.uk/474691/
https://eprints.soton.ac.uk/474691/
Autor:
Taufiq Choudhry, Yuan Wu
Publikováno v:
Review of Behavioral Finance, 2015, Vol. 7, Issue 2, pp. 116-133.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/RBF-06-2014-0032
Publikováno v:
The International Journal of Human Resource Management. 34:1213-1245
This study empirically investigates the myopic behavior of the stock market toward firms’ human capital resource investment, paying particular attention to two key proxies: human resource expenditure and the firm value added allocated to the employ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f0c494e9f4b04d4ee1b2c5131356824
https://doi.org/10.1080/09585192.2021.1986106
https://doi.org/10.1080/09585192.2021.1986106
Publikováno v:
Review of Quantitative Finance and Accounting. 57:929-958
In this paper, we explore the relations between liquidity, stock returns, and investor risk aversion as captured by the variance risk premium (VRP). This is motivated by theoretical and empirical evidence in the literature which suggests that investo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc82f18bcf5b74032ea85a48147634c2
https://doi.org/10.1007/s11156-021-00966-5
https://doi.org/10.1007/s11156-021-00966-5
Publikováno v:
Computational Economics. 57:1287-1305
We investigate systematic and unsystematic option pricing biases in (a) pure jump Levy, (b) jump-diffusion, (c) stochastic volatility, and (d) GARCH models applied to the Black–Scholes–Merton model. We use options data for trades on the S&P500 in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::06eaa6deb63e98713148bda7c6e49eba
https://doi.org/10.1007/s10614-020-10029-x
https://doi.org/10.1007/s10614-020-10029-x
Publikováno v:
Applied Economics Letters. 27:161-167
Risk measures based on Gaussian return distributions are simple but inaccurate while such measures based on alternative methodologies are known to be more precise but complex. In this context, practitioners seem biased towards simplicity and tend to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b2d9b7fc56ee0d6a74ab0c1bddaf1f8
https://doi.org/10.1080/13504851.2019.1612025
https://doi.org/10.1080/13504851.2019.1612025
We apply seven alternative t-distributions to estimate the market risk measures Value at Risk (VaR) and its extension Expected Shortfall (ES). Of these seven, the twin t-distribution (TT) of Baker and Jackson (in Twin t distribution, University of Sa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d2310d190c6bc3d2e3ba092fac909e74
https://eprints.soton.ac.uk/436036/
https://eprints.soton.ac.uk/436036/
Autor:
Yuan Wu, Taufiq Choudhry
Publikováno v:
Asia-Pacific Financial Markets. 25:111-136
This paper empirically investigates how firm-level information uncertainty impacts momentum profits in the Chinese Class A share market. We employ seven different factors to gauge the degree of firm-level information uncertainty—firm size, firm age
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f9b1d9cc1df7a27fdf9b485bc241173
https://doi.org/10.1007/s10690-018-9241-x
https://doi.org/10.1007/s10690-018-9241-x