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percent dividends become procyclical, the price-dividend ratio countercyclical, and the mean of the equity risk premia reduces …
Persistent link: https://www.econbiz.de/10014251243
volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …
Persistent link: https://www.econbiz.de/10012111254
null hypothesis that the variable has no explanatory power. We derive the asymptotic theory for our test statistic and …
Persistent link: https://www.econbiz.de/10011958200
more than a single regime, have performed substantially better than standard methods in terms of volatility and Value …
Persistent link: https://www.econbiz.de/10013242299
This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … empirical results from the VARMA-GARCH and VARMA-AGARCH models provide little evidence of volatility spillovers between the …
Persistent link: https://www.econbiz.de/10013149274
realized volatility and the augmented GARCH models with the FHS or the EVT quantile estimation methods produce superior VaR … realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the … distributions and also with the Filtered Historical Simulation (FHS), or the Extreme Value Theory (EVT) methods. Our analysis is …
Persistent link: https://www.econbiz.de/10013126884
Numerous studies analyze the impact of ownership concentration and shareholder identity on dividend payout … dividend payments. Because the importance of those proxies varies with the classification techniques applied, we use both … traditional and machine learning techniques. We examine the dividend payout behavior of German issuers, which is considered rather …
Persistent link: https://www.econbiz.de/10012947291
firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in … explains the dividend payment decision and the positive market reaction around dividend increases and initiations. Further … following dividend increases and initiations …
Persistent link: https://www.econbiz.de/10014192535
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow …
Persistent link: https://www.econbiz.de/10013113491
reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- efficient return ; macroeconomic announcements ; microstructure noise ; informational volatility …
Persistent link: https://www.econbiz.de/10003952800