Showing 1 - 7 of 7
This paper presents research into the information content of firm-level and industry-level cross-sectional volatility (CSV) of daily equity returns for future market-level volatility in Australia. Using a conditional volatility framework that allows for commonly observed excess kurtosis in asset...
Persistent link: https://www.econbiz.de/10009481991
In recent years there has been an increased interest in the extent to which managers can improve their property portfolio position through international diversification. Much of this interest has centred on the use of various statistical/econometric tests of time-varying correlations and...
Persistent link: https://www.econbiz.de/10009481992
Computer-based models and Decision Support Systems have become standard tools for water quality management, and many are used by policy planners. Most models are developed in a research environment, have stringent input data requirements, and are becoming increasingly complex. In the early...
Persistent link: https://www.econbiz.de/10009482090
Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...
Persistent link: https://www.econbiz.de/10009482095
An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...
Persistent link: https://www.econbiz.de/10009482148
We begin with the outlining the motivation of this research as there are still so many unanswered research questions on our complex financial and economic systems. The philosophical background and the advances of econometrics and econophysics are discussed to provide an overview of the...
Persistent link: https://www.econbiz.de/10009482159
This research discusses small decision making problems and petty corruption as their practical applications with a structured economic experiment. One of examples of petty corruption considered includes demands for petty bribes by traffic officials followed by police. We examine that it is...
Persistent link: https://www.econbiz.de/10009482177