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Asset price volatility and option hedging in imperfectly elastic markets
Frey, Rüdiger - 1995
Persistent link: https://www.econbiz.de/10004299305
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Financial determinants of corn market
Sariannidis, Nikolaos - In: International Journal of Economics and Business Research 5 (2013) 2, pp. 204-213
evidence of positive influence of bond, energy and capital market on corn market. There is also evidence that the volatility … shocks of the US dollar/yen exchange rate have a positive impact on the conditional volatility of corn futures returns …. Finally, the structural analysis of volatility with the GJR-GARCH model has shown that current volatility is more influenced …
Persistent link: https://www.econbiz.de/10010669644
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A comparative modelling analysis of firm performance
Owen P. Hall Jr.; Stanley, Darrol J. - In: International Journal of Data Analysis Techniques and … 4 (2012) 1, pp. 43-56
The ongoing financial and economic crisis throughout the industrialised world has spotlighted a number of significant deficiencies in corporate governance and management. The strength and composition of the management team along with effective corporate governance policy should play an important...
Persistent link: https://www.econbiz.de/10010669743
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Volatility of the Utilities Industry: Its Causal Relationship to Other Nine Industries
Lee, Kuo-Hao; Elkassabgi, Ahmed; Hsieh, Wei-Jen - In: Review of Economics & Finance 4 (2014) May, pp. 15-22
industries. Previous literatures show that volatility of stock prices is informative; Granger causality is applied in this … volatility. The results indicate that causality of the volatility of the Utilities industry on the volatility of seven other …
Persistent link: https://www.econbiz.de/10010812029
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Statistical Properties of the Asymmetric Power ARCH Process
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …
Persistent link: https://www.econbiz.de/10005423779
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A Century of Stock-Bond Correlations
Rankin, Ewan; Idil, Muhummed Shah - In: RBA Bulletin (2014) September, pp. 67-74
The correlation between movements in equity prices and bond yields is an important input for portfolio asset allocation decisions. Throughout much of the 20th century, the correlation between equity prices and government bond yields in the United States and other countries, including Australia,...
Persistent link: https://www.econbiz.de/10010949108
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Volatility transmission and herding contagion during the global financial crisis
Abbes, Mouna Boujelbène - In: International Journal of Managerial and Financial Accounting 5 (2013) 2, pp. 138-161
the volatility of US stock market during the subprime crisis is significantly transmitted to Asian and European financial … markets. Moreover, UK and Swiss financial markets present an important role in emitting volatility to Asian markets. In …. All residuals showed enhanced volatility during the financial crisis period of mid 2007-2008. Moreover, the cross …
Persistent link: https://www.econbiz.de/10010754852
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Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194
The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …
Persistent link: https://www.econbiz.de/10010670368
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American Journal of Finance and Accounting 3 (2014) 2/3/4, pp. 172-184
market to New York, Pairs and Frankfurt stock markets. Within the European stock markets, there are unidirectional volatility … spillover effects from Frankfurt to Paris and from Paris to London. Volatility increases induced by bad news are transmitted … more strongly than volatility declines. …
Persistent link: https://www.econbiz.de/10010816696
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Commodity Price Volatility: The Impact of Commodity Index Traders
Getu, Hailu; Weersink, Alfons - Canadian Agricultural Trade Policy Research Network (CATPRN) - 2010
Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of...
Persistent link: https://www.econbiz.de/10008693730