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Quantitative Analysis of Modern Portfolio Theory for Diversification of Risk
Yadav, Himanshu - 2012
The paper is an empirical research work wherein the principle of Modern Portfolio Theory along with aspects of geographical diversification have been subjected to test. The validation of the said theory has been made via hypothesis testing in light of the financial market data. The paper has...
Persistent link: https://www.econbiz.de/10013102156
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Risk and Repeated Games : Is Random Termination a Reasonable Proxy For Discounting?
Candreva, Christopher - 2019
This paper looks to see if departures from risk neutrality cause subjects to behave differently in randomly terminated supergames compared to infinitely discounted supergames. I show that if subjects have a strictly monotonic utility function, and that utility function is applied to their entire...
Persistent link: https://www.econbiz.de/10012901787
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The behavior of uncertainty and disagreement and their roles in economic prediction : a panel analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
This paper examines point and density forecasts from the European Central Bank's Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...
Persistent link: https://www.econbiz.de/10011604042
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On Modelling IPO Failure Risk
Colak, Gonul; Fu, Mengchuan; Hasan, Iftekhar - 2022
This paper offers a novel framework, combining firm operational risk, IPO pricing risk, and market risk, to model IPO failure risk. By analyzing nearly a thousand variables, we observe that prior IPO failure risk models have suffered from a major missing-variable problem. Evidence reveals...
Persistent link: https://www.econbiz.de/10013296828
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Old and New Methods of Risk Measurements for Financial Stability Amid the Great Outbreak
Taskinsoy, John - 2020
Increasing financial and political turmoil in the 1970s and 1980s coupled with oil shock prompted Governors of the G-10 countries to engage in cooperation and financial collaboration that eventually paved the road for the establishment of the Basel Committee on Banking Supervision in 1974. After...
Persistent link: https://www.econbiz.de/10012835664
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Generalized Mutual Information Index and Its Application to Sectoral Segregation in China's Labor Market
Wu, Tianhao - 2018
Understanding the segregation in labor market is conducive to discussing a series of related topics. Built on the framework developed by Theil and Finizza (1971) and Blau and Jusenius (1976), a generalized mutual information index is constructed in this paper. By utilizing this kind of mutual...
Persistent link: https://www.econbiz.de/10012935319
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Sentiment Analysis as Reputational Risk Indicator
Perales-González, Carlos - 2018
Fundaments of classification lie on the interdependences between the features and the labels to classify. For social parameters, this relationships are difficult to model and measure. In this paper, a way of obtaining a social indicator using sentiment analysis in Twitter is explained. With the...
Persistent link: https://www.econbiz.de/10012932524
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On the Impact of Financial, Newspaper, and Twitter-Based Uncertainty on U.S. Banks : A Comparative Multi-Scale Analysis
Bales, Stephan; Burghof, Hans-Peter - 2022
This study examines the multi-scale impact of financial, newspaper, and Twitter-based uncertainty on bank stock returns in the United States. By combining Principal Component Analysis and Discrete Wavelet Transformation, we estimate directional spillover and causality for different time...
Persistent link: https://www.econbiz.de/10013405937
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Revisiting German labour market reform effects : a panel data analysis for occupational labour markets
Stops, Michael - 2015
reforms in boosting the German economy. Considering that one of the main objectives of the reforms was to improve the matching … regarding the development of job-matching performance before and after the reform years. The results show that matching … controlling for the recession. Furthermore, increases in matching productivity have become smaller in recent years. Beyond these …
Persistent link: https://www.econbiz.de/10010467082
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Macroeconomic impacts of ALMP on the matching process in West Germany
Hujer, Reinhard (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001808448