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This paper investigates, in a particular parametric framework, the geometric meaning of joint unpredictability for a bivariate discrete process. In particular, the paper provides a characterization of the joint unpredictability in terms of distance between information sets in an Hilbert space.
Persistent link: https://www.econbiz.de/10010710610
volatility concerning Italian Listed Companies to determine over the period of crisis whether firm complexity is associated with … relationship between stock market volatility and cost structure complexity among Italian Listed Companies. I also found that cost …
Persistent link: https://www.econbiz.de/10010901898
sheds some light on household perception of fuel price volatility. Using repeated cross-section data from the French "Car … the same age, who grew up in less car-dependent times. In addition, the negative impact of fuel price volatility on car … there is an increase in uncertainty about fuel prices. Lastly, we demonstrate that failure to consider the volatility effect …
Persistent link: https://www.econbiz.de/10011278805
This paper examines the impact of real exchange rate volatility on economic growth in Kenyan. The study employed the … changes to measure volatility and Generalized Method Moments (GMM) to assess the impact of the real exchange rate volatility … found that RER was very volatility for the entire study period. Kenya’s RER generally exhibited a appreciating and …
Persistent link: https://www.econbiz.de/10010732568
determinants are considered. In addition, I consider the connection between volatility and bond yield spreads. Volatility and …
Persistent link: https://www.econbiz.de/10010868621
According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …
Persistent link: https://www.econbiz.de/10005407887
The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the trading halts on the French stock exchange market. We proceed to a detailed...
Persistent link: https://www.econbiz.de/10010707290
Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …
Persistent link: https://www.econbiz.de/10005556286
market, related to the levels in the nominal exchange rate volatility observed during the Exchange Rate Flotation Scheme in …
Persistent link: https://www.econbiz.de/10011191497
stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …
Persistent link: https://www.econbiz.de/10010760433