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Local logit regression for loan recovery rate

Sopitpongstorn, Nithi; Silvapulle, Paramsothy; Gao, Jiti; … - In: Journal of banking & finance 126 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012820172

Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries

Silvapulle, Paramsothy; Fenech, Jean Pierre; Thomasa, Alice - In: Economic modelling 58 (2016), pp. 83-92

Persistent link: https://www.econbiz.de/10011647047

Nonparametric estimation and forecasting for time-varying coefficient realized volatility models

Chen, Xiangjin B.; Gao, Jiti; Li, Degui; Silvapulle, … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 88-100

Persistent link: https://www.econbiz.de/10011894402

Panel data analysis of multi-factor capital asset pricing models

Makwasha, Tariro; Wright, Jill; Silvapulle, Paramsothy - In: Applied economics 51 (2019) 60, pp. 6459-6475

Persistent link: https://www.econbiz.de/10012197351

Nonparametric panel data model for crude oil and stock market prices in net oil importing countries

Silvapulle, Paramsothy; Smyth, Russell; Zhang, Xibin; … - In: Energy economics 67 (2017), pp. 255-267

Persistent link: https://www.econbiz.de/10011897918

Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

Silvapulle, P.; Granger, C. W. J. - In: Quantitative Finance 1 (2001) 5, pp. 542-551

This paper, using daily returns on 30 Dow Jones Industrial stocks for the period 1991-1999, investigates the possibility of portfolio diversification when there are negative large movements in the stock returns (i.e. when the market is bearish). We estimate the quantiles of stock return...

Persistent link: https://www.econbiz.de/10009208221