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This article uses models with changes in regime and conditional variance to show the presence of co-movement between the American and the French New Technology indexes, the NASDAQ-100 and the IT.CAC respectively. For the past two years, American and French New Technology stock markets have been...
Persistent link: https://www.econbiz.de/10005556399
The episodes of stock market crises in Europe and the U.S.A.since the year 2000,and the fragility of the international stock markets,have sparked the interest of researchers in understanding and in modeling the markets’ rising volatilities in order to prevent against crises.Portfolio managers...
Persistent link: https://www.econbiz.de/10005124892
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...
Persistent link: https://www.econbiz.de/10005076972
This paper investigates the time-varying behavior of systematic risk for eighteen pan-European sectors. Using weekly data over the period 1987- 2005, four different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman...
Persistent link: https://www.econbiz.de/10005077020
The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...
Persistent link: https://www.econbiz.de/10005119158
Spanish energy domain. The model rests on our prior estimation of a demand system which is especially designed for … simultaneous analysis of different energy goods and uses household data from 1973 to 1995. Our objective is to obtain in … effects of energy taxes that resemble a 50 Euro tax on CO2 (carbon dioxide) emissions. The results show a significant response …
Persistent link: https://www.econbiz.de/10005560966
década del nuevo milenio. This paper discusses the experiences, needs, ideas and actions taken in developing the energy …
Persistent link: https://www.econbiz.de/10005561469
We give the reader a tour of good energy optimization models that explicitly deal with uncertainty. The uncertainty … usually stems from unpredictability of demand and/or prices of energy, or from resource availability and prices. Since most … energy investments or operations involve irreversible decisions, a stochastic programming approach is meaningful. Many of the …
Persistent link: https://www.econbiz.de/10005125661
energy supply and the affect that they have had on prices, on the economy and on society. For each commodity we have analysed …
Persistent link: https://www.econbiz.de/10005407790
by 15% in 2010. The reasons for this situation stem from a combination of economic growth and an inefficient energy …
Persistent link: https://www.econbiz.de/10005407804