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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …
Persistent link: https://www.econbiz.de/10011261127
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Volatility Indexes seem to point to the Past
Schroeder, Gerhard - Volkswirtschaftliche Fakultät, … - 2009
In theory, by trading options, market participants asses and set future volatilities that can be identified using the …
Persistent link: https://www.econbiz.de/10008565127
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The most representative composite rank ordering of multi-attribute objects by the particle swarm optimization
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2009
measures of correlation. The versatility of the method and its capability to obtain the most representative composite rank … also been found that rank ordering based on maximization of the sum of absolute values of the correlation coefficients of … solves the one problem, it gives rise to the other problem. The overall ranking of objects by maximin correlation principle …
Persistent link: https://www.econbiz.de/10005836581
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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
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …
Persistent link: https://www.econbiz.de/10011156962
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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
the probability theory and the statistics theory application to accurately characterize the trends in the foreign …
Persistent link: https://www.econbiz.de/10011110289
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The ACEGES 1.0 Documentation: Simulated Scenarios of Conventional Oil Production
Voudouris, V; Di Maio, C - Volkswirtschaftliche Fakultät, … - 2010
he ACEGES (Agent-based Computational Economics of the Global Energy System) 1.0 model is an agent-based model of conventional oil production for 93 countries. The model accounts for four key uncertainties, namely Estimated Ultimate Recovery (EUR), estimated growth in oil demand, estimated growth...
Persistent link: https://www.econbiz.de/10008560042
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An inquiry into the stability of Islamic Financial Services Institutions in terms of volatility, risk and correlations: A case study of Malaysia employing M-GARCH t-DCC and MODWT W...
Kamaruzdin, Thaqif; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
in correlation to the market implying that IFSIs volatility may be independent of the market due to assets that require …
Persistent link: https://www.econbiz.de/10011113217
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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Stationarity and geometric ergodicity of a class of nonlinear ARCH models
Saidi, Youssef; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2006
conditions for the existence of moments. The analysis relies on Markov chain theory. The model generalizes some important …
Persistent link: https://www.econbiz.de/10011167230
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Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices.
Liebl, Dominik - Volkswirtschaftliche Fakultät, … - 2010
Classical univariate and multivariate time series models have problems to deal with the high variability of hourly electricity spot prices. We propose to model alternatively the daily mean electricity supply functions using a dynamic factor model. And to derive, subsequently, the hourly...
Persistent link: https://www.econbiz.de/10008728079