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In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...
Persistent link: https://www.econbiz.de/10005862343
With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
Persistent link: https://www.econbiz.de/10003796151
Persistent link: https://www.econbiz.de/10003022951
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Utilizing the latest research results in the fields of psychology and sociology, this study examines the relationship among fund manager behavior on the Chinese WeChat social media service, IPO discounting, and earnings volatility. Based on the Big Five model, described by Costa and McCrae in...
Persistent link: https://www.econbiz.de/10013004729
Persistent link: https://www.econbiz.de/10012117736
Persistent link: https://www.econbiz.de/10012316256
With the recent availability of high-frequency financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
Persistent link: https://www.econbiz.de/10012966276
With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
Persistent link: https://www.econbiz.de/10010274152