Zobrazeno 1 - 10
of 1 538
pro vyhledávání: '"leverage effect"'
Autor:
Shreevastava Aman, Raza Shahil, Bharat Kumar Meher, Ramona Birau, Anand Abhishek, Mircea Laurentiu Simion, Nadia Tudora Cirjan
Publikováno v:
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, Vol 30, Iss 2, Pp 41-52 (2024)
The study was conducted on BUX Index volatility for the post-2008 (from 2011) global financial crisis period using advanced GARCH models (GARCH, TGARCH, EGARCH, IGARCH, PARCH, APARCH). Based on parameters and test results appropriate model was chosen
Externí odkaz:
https://doaj.org/article/8662314f35854d9494015f2014624c3e
Autor:
Noor Aldeen Kassem Al-alawnh, Muzafar Shah Habibullah, Ahmad Marei, Sajead Mowafaq Alshdaifat
Publikováno v:
Investment Management & Financial Innovations, Vol 21, Iss 3, Pp 222-236 (2024)
This study aims to explore the impact of coronavirus pandemic-related variables and non-pharmaceutical interventions on fluctuations in the Malaysian stock market during the period from January 7, 2020, to March 31, 2021. By employing GARCH-M (1,1) f
Externí odkaz:
https://doaj.org/article/92886988f7b74aaaa8ae2bc3869a1755
Autor:
Alessio Brini, Jimmie Lenz
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-38 (2024)
Abstract The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship betwe
Externí odkaz:
https://doaj.org/article/aa65de294a0b4967b7fef9cdb5759a20
Publikováno v:
فصلنامه پژوهشهای اقتصادی ایران, Vol 29, Iss 98, Pp 54-85 (2024)
The negative correlation between an asset’s volatility and its return is known as leverage effect. This relationship is explained by the effect of a firm’s equity return on the degree of leverage in its capital structure. If this relationship hol
Externí odkaz:
https://doaj.org/article/9c3f6b572f274d4e85597028d5e31643
Autor:
Vasileiou, Evangelos
Publikováno v:
Journal of Economic Studies, 2022, Vol. 50, Issue 5, pp. 1063-1072.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JES-04-2022-0235
Publikováno v:
Studies in Business and Economics, Vol 18, Iss 1, Pp 118-128 (2023)
The main aim of the paper is to examine if the energy market (crude oil, gas and electricity) realized volatility exhibits a symmetric or an asymmetric behaviour, for certain commodities over the period May 2012 – August 2022. We considered this ti
Externí odkaz:
https://doaj.org/article/4bfac6c54d68477f8edb1840669f18d4
Publikováno v:
Risks, Vol 12, Iss 5, p 76 (2024)
The present study aimed to investigate the presence of asymmetric stochastic volatility and leverage effects within the Nasdaq-100 index. This index is widely regarded as an important indicator for investors. We focused on the nine leading stocks wit
Externí odkaz:
https://doaj.org/article/ae9acdfd46b44eeaa6d7c5d531b73711
Publikováno v:
Risks, Vol 12, Iss 5, p 73 (2024)
Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial. The body of research on statistical models that can fully reflect the empirical characteristics of comm
Externí odkaz:
https://doaj.org/article/0ec66f99e464426984d03273d7b3d571
Autor:
Sándor Bozsik, Judit Szemán
Publikováno v:
Theory, Methodology, Practice, Vol 19, Iss 02 (2023)
This paper is devoted to examining two extremely popular financing principles in the practice of Hungarian companies during the Covid-crisis. The leverage effect explains how the Return on Equity can be improved compared to the Return on Assets, the
Externí odkaz:
https://doaj.org/article/cdc0b38e2d0146ccbc5e45ba9753283e
Autor:
Xiaoxing Liu, Khurram Shehzad
Publikováno v:
Journal of Applied Economics, Vol 26, Iss 1 (2023)
ABSTRACTThis investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Ind
Externí odkaz:
https://doaj.org/article/20a88ee53b1943a189ebc590b452b3ff