Narrow search
Showing 1 - 10 of 1,117
Cover Image
Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital ma...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
This research represents some thoughts on the accurate characterization of the stock market indexes trends in the conditions of the nonlinear capital flows at the stock exchanges in the global capital markets. We make our original research proposal that the nonlinear capital flows in the process...
Persistent link: https://www.econbiz.de/10011259405
Cover Image
The Mean Reversion Stochastic Processes Applications in Risk Management
Radkov, Petar - Volkswirtschaftliche Fakultät, … - 2010
In this study we investigate using the mean reversion processes in financial risk management, as they provide an good description of stock price uctuations and market risks. This paper does not aim at being exhaustive, but gives examples for practically implementable models allowing for stylised...
Persistent link: https://www.econbiz.de/10011107602
Cover Image
Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011
The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...
Persistent link: https://www.econbiz.de/10011114513
Cover Image
Using sentiment to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10009647230
Cover Image
Banks exposure to market risks
Galy, Michel - Volkswirtschaftliche Fakultät, … - 1989
Maturity transformation coupled with open foreign exchange positions expose financial intermediaries to unexpected changes in interest and exchange rates. This paper proposes to measure the degree of banks exposure to market risks by taking the variance of the total differential of the bank...
Persistent link: https://www.econbiz.de/10011183544
Cover Image
Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …
Persistent link: https://www.econbiz.de/10011112536
Cover Image
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011156962
Cover Image
On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10011110289
Cover Image
Forecasting with Factor Models: A Bayesian Model Averaging Perspective
Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2013
volatility and structural breaks. Our results indicate that ignoring structural breaks in the loadings can be quite costly in …
Persistent link: https://www.econbiz.de/10011111484
Cover Image
Stock Index Volatility: the case of IPSA
Alfaro, Rodrigo; Silva, Carmen Gloria - Volkswirtschaftliche Fakultät, … - 2010
intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …
Persistent link: https://www.econbiz.de/10008683280