Similar Search Results

Emissions reduction policies and their effects on economy

Gurtu, Apoorva; Vyas, Vidhisha; Gurtu, Amulya - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-17

The two broad carbon-reducing policies, carbon tax and cap-and-trade, have been implemented at various national and sub-national levels. This paper examines the relationships between emissions-reducing policies and their effect on the country's economic growth (GDP) using carbon tax and CO2...

Persistent link: https://www.econbiz.de/10013399793

Digitalization of the EU economies and people at risk of poverty or social exclusion

Kwilinski, Aleksy; Vyshnevskyi, Oleksandr; Dzwigol, Henryk - In: Journal of risk and financial management : JRFM 13 (2020) 7/142, pp. 1-14

, the impact of a country’s digitalization level on the risks of poverty and social exclusion requires further investigation … in reducing the risks of poverty and social exclusion for the population. The Digital Economy and Society Index (DESI …) was used to evaluate the digitalization levels of the EU countries. The indicator “People at risk of poverty or social …

Persistent link: https://www.econbiz.de/10012309282

Volatility forecast in crises and expansions

Pypko, Sergii - In: Journal of risk and financial management : JRFM 8 (2015) 3, pp. 311-336

We build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of threshold-autoregressive models, where changes in regimes are governed by past returns. The ability to capture changes in volatility regimes and using more accurate volatility...

Persistent link: https://www.econbiz.de/10011545111

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors

Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...

Persistent link: https://www.econbiz.de/10012520275

Tax rates and tax revenues in the context of tax competitiveness

Helcmanovská, Martina; Andrejovská, Alena - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13

The diverse tax burdens and economic situations of EU member states are causing investors to relocate their investments to countries that offer better tax conditions and a better economic environment. The total amount of corporate tax revenue is therefore influenced by tax, macroeconomic and...

Persistent link: https://www.econbiz.de/10012622411

Forecasting high-dimensional financial functional time series : an application to constituent stocks in Dow Jones index

Tang, Chen; Shi, Yanlin - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-13

Financial data (e.g., intraday share prices) are recorded almost continuously and thus take the form of a series of curves over the trading days. Those sequentially collected curves can be viewed as functional time series. When we have a large number of highly correlated shares, their intraday...

Persistent link: https://www.econbiz.de/10012626347

How fast does the clock of finance run? : a time-definition enforcing stationarity and quantifying overnight duration

Caraglio, Michele; Baldovin, Fulvio; Stella, Attilio L. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-15

A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical series with cyclically recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a successful protocol of...

Persistent link: https://www.econbiz.de/10012627059

Forecasting a stock trend using genetic algorithm and random forest

Abraham, Rebecca; El Samad, Mahmoud; Bakhach, Amer M.; … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-18

This paper addresses the problem of forecasting daily stock trends. The key consideration is to predict whether a given stock will close on uptrend tomorrow with reference to today's closing price. We propose a forecasting model that comprises a features selection model, based on the Genetic...

Persistent link: https://www.econbiz.de/10013273115

Deposit competition, interbank market, and bank profit

Jiang, Bo; Tzavellas, Hector; Yang, Xiaoying - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-15

In this paper, we study how the interbank market could impact deposit competition and bank profits. We first document two stylized facts: the net interbank funding ratio is negatively correlated with net interest margin (NIM), as well as with the cost-to-income ratio (CIR). To rationalize these...

Persistent link: https://www.econbiz.de/10013273397