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implications of such breaks are numerous, in terms of volatility dynamics and forecasting and portfolio management. With respect to … volatility dynamics, further analysis reveals that accounting for breaks substantially reduces the degree of persistence over a …, the mean to which volatility reverts is time varying; as such, failure to account for breaks will lead to severe forecast …
Persistent link: https://www.econbiz.de/10009278625
market volatility affects the hedge fund returns or not is one of the main questions that we ask in the article. Our results … reveal that stock and bond market volatility do not have a significant impact on fund returns for the most part, which is a … result that is robust to various measures of volatility. Among the four regions we examine, only the emerging market hedge …
Persistent link: https://www.econbiz.de/10009278661
, Intracom, National Bank of Greece and Alpha Bank) on stock prices and volatility for the period 1999 to 2002. We examine the … volatility (positive effect) for Greek Telecommunication Organisation, Intracom and National Bank of Greece only (Alpha Bank …
Persistent link: https://www.econbiz.de/10009278685
This article attempts to determine whether or not the introduction of the euro affected the volatility of major …-operation and Development (OECD) and non-OECD countries during the period 1993 to 2010. We find evidence of structural breaks in … volatility across investigated variables and, although there is a high heterogeneity regarding the located dates, our results …
Persistent link: https://www.econbiz.de/10009278690
This article is dedicated to study the impact of stock spams through the analysis of the variations of volatility. Our … volatility; a widening of the variation (lowest price-highest price) was noticed following the consignment of messages by the …
Persistent link: https://www.econbiz.de/10009200911