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The Changing Nature Of Market Risk
FRANZONI, Francesco
In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is reversed and the gap in beta widens. What makes growth strategies nowadays bear more market risk than value strategies? What are the causes of the reversal in the ranking of...
Persistent link: https://www.econbiz.de/10005162950
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Dynamic correlation structure and security risk
Vozlyublennaia, Nadia; Meshcheryakov, Artem - In: Journal of Economics and Business 73 (2014) C, pp. 48-64
We investigate the relationship between changing correlation structure of returns, security risk, and mean return. According to our results, securities that were highly correlated with the market-wide risk factors in the past are likely to have high systematic and idiosyncratic risk at present....
Persistent link: https://www.econbiz.de/10010777158
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The application of the capital asset pricing model on the Croatian capital market
Tomić, Bojan - Volkswirtschaftliche Fakultät, … - 2013
The paper describes and analyzes the application of the capital asset pricing model (CAPM) and the single-index model … problem of applying the CAPM model is the market index with negative returns during the observation period. …
Persistent link: https://www.econbiz.de/10011110636
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On the Empirical Importance of Periodicity in the Volatility of Financial Returns - Time Varying GARCH as a Second Order APC(2) Process
Mazur, Błażej; Pipień, Mateusz - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 95-116
We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following … significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to a 14 year …-t and to the changes of the volatility equation from regular GARCH to the Asymmetric GARCH. …
Persistent link: https://www.econbiz.de/10010875622
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Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848
and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and … results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …
Persistent link: https://www.econbiz.de/10010938176
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Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
TURKYILMAZ, Serpil; BALIBEY, Mesut - In: International Journal of Economics and Financial Issues 4 (2014) 2, pp. 400-410
do not support long memory behaviour for the stock market returns. However, FIGARCH model indicate that volatility of … market returns has long memory. Moreover, in order to test the feature of long memory in the return and volatility of the …. Predictable structure of volatility of Pakistan Stock Market display that this market is the weak-form market inefficiency …
Persistent link: https://www.econbiz.de/10011273115
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Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market
BALLIBEY, Mesut; TÜRKYILMAZ, Serpil - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 836-848
and long memory in the volatility of the Turkish Stock Market. Furthermore, we investigate the performances in-sample and … results in capturing stylized facts in the volatility of Turkish Stock Market. Consequently, evaluating of asymmetry and long … memory property in volatility of the returns can ensure suitable Value-at-Risk (VaR) model selection for performance of risk …
Persistent link: https://www.econbiz.de/10011279195
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Conditional jumps in volatility and their economic determinants
Caporin, Massimiliano; Rossi, Eduardo; Magistris, Paolo … - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011
The volatility of financial returns is affected by rapid and large increments. Such movements can be hardly generated … by a pure diffusive process for stochastic volatility. On the contrary jumps in volatility are important because they … estimating the presence of jumps in volatility, using the realized-range measure as a volatility proxy. By focusing on a set of …
Persistent link: https://www.econbiz.de/10009323210
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On the empirical importance of periodicity in the volatility of financial time series
Pipień, Mateusz; Mazur, Blazej - Narodowy Bank Polski - 2012
We discuss the empirical importance of long term cyclical effects in the volatility of financial returns. Following ˘Ci … existence of significant long term cyclical patterns in volatility with a strongly supported periodic component corresponding to … US economy and long term changes in the volatility of the basic stock market index. …
Persistent link: https://www.econbiz.de/10010583583
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Predicting Stock Returns and Volatility Using Consumption-Aggregate Wealth Ratios: A Nonlinear Approach
Bekiros, Stelios; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
which is a stronger predictor of not only stock returns, but also volatility. …
Persistent link: https://www.econbiz.de/10011188121