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Structural GARCH : the volatility-leverage connection
Engle, Robert F.; Siriwardane, Emil N. - 2015
During the financial crisis, financial firm leverage and volatility both rose dramatically. Consequently, institutions … structure in volatility. To address this question, we build a statistical model of equity volatility that accounts for leverage …. Our approach blends Merton's insights on capital structure with traditional time-series models of volatility. Using our …
Persistent link: https://www.econbiz.de/10011305287
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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Corporate financial stability and change of capital availability as a result of a loss event
Gorczyńska, Maria; Wieczorek-Kosmala, Monika; Blach, Joanna - In: Journal of economics & management 24 (2016) 2, pp. 77-98
Persistent link: https://www.econbiz.de/10011643766
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Asymmetry, realised volatility and stock return risk estimates
Grané, Aurea; Veiga, Helena - In: Portuguese economic journal 11 (2012) 2, pp. 147-164
Persistent link: https://www.econbiz.de/10009581964
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Security issuance decisions, idiosyncratic risk, and macroeconomic dynamics
Rashid, Abdul - In: Journal of economics and finance 41 (2017) 4, pp. 659-678
Persistent link: https://www.econbiz.de/10011802200
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New evidence on sources of leverage effects in individual stocks
Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10011338155
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Volatility modeling with leverage effect under laplace errors
Jiang, Zhengjun; Xia, Weixuan - In: Journal of time series econometrics 10 (2018) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011817685
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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Correlation surprise
Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399
Persistent link: https://www.econbiz.de/10010258478
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016
prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …
Persistent link: https://www.econbiz.de/10011441704