Showing 1 - 10 of 577
This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...
Persistent link: https://www.econbiz.de/10012795039
This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary....
Persistent link: https://www.econbiz.de/10012795555
Persistent link: https://www.econbiz.de/10011610419
Persistent link: https://www.econbiz.de/10011959061
Persistent link: https://www.econbiz.de/10015156680
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821
entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether …, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were … close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis …
Persistent link: https://www.econbiz.de/10013475240
Persistent link: https://www.econbiz.de/10012128917
that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be …
Persistent link: https://www.econbiz.de/10012022143
Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests the misspecification of the underlying factor...
Persistent link: https://www.econbiz.de/10012022242