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Price and volatility spillovers of the producer price of milk between some EU member states
Szenderák, János; Popp, József; Harangi-Rákos, Mónika - In: German journal of agricultural economics : GJAE 68 (2019) 2, pp. 61-76
Persistent link: https://www.econbiz.de/10012018725
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011520321
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Volatility and market risk of the pork market in China
Pan, Wei-Fong - In: The empirical economics letters : a monthly … 15 (2016) 7, pp. 697-704
Persistent link: https://www.econbiz.de/10011655819
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2017
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market-to-book groupings. Though stock liquidity affects the...
Persistent link: https://www.econbiz.de/10011674278
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Current volatility as a measure of market risk
Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
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Real Options, Preemption, and the Dynamics of Industry Investments
Boyer, Marcel; Lasserre, Pierre; Mariotti, Thomas; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001
, durables et de taille non négligeable par rapport au marché, l'entrée hâtive ne peut conférer d'avantage durable; à partir d …'un certain niveau de développement du marché, les deux firmes sont en activité. Alors, une collusion tacite pour retarder les … augmentations de capacité subséquentes peut devenir possible en équilibre Markovien parfait. La volatilité du marché et sa vitesse …
Persistent link: https://www.econbiz.de/10005100881
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Real Options, Preemption, and the Dynamics of Industry Investments
Boyer, Marcel; Lasserre, Pierre; Mariotti, Thomas; … - Département des Sciences Économiques, École des … - 2001
We study the development of a duopoly industry - evolution of firm capacities and competitive behavior - in a continuous-time real-options model of capacity investment. Our methodology allows the evaluation of investment options and exercise rules in a strategic setup. In the initial industry...
Persistent link: https://www.econbiz.de/10005611976
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¿Qué tan sensibles son los mercados financieros al brote por COVID-19? Evidencia de los mercados de Estados Unidos y Colombia
Ramírez Quintero, James Duvan; Marulanda Piedrahita, … - In: Revista de Métodos Cuantitativos para la Economía y … 36 (2023), pp. 1-23
In this article, the market risk associated with the financial markets of New York and Colombia is evaluated in three periods belonging to the 2019-2020-time window, characterized by shocking economic and social conditions such as the oil price war between Saudi Arabia and Russia and the global...
Persistent link: https://www.econbiz.de/10014494562
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Measuring the stability of a dynamic system: The case of the stock market turmoil 2007-2008
Bask, Mikael; Widerberg, Anna - 2010
The aim of this paper is to demonstrate how the change in actual and potential market risks in the Dow Jones Industrial Average (DJIA) during the two-year period 2007-2008 can be analyzed with the help of-analysis. In the empirical analysis, the average of the Lyapunov exponents for the dynamic...
Persistent link: https://www.econbiz.de/10010321428
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Asset allocation and value at risk in shipping equity portfolios
Syriopoulos, Theodore; Roumpis, Efthimios - In: Maritime policy and management : MPM 36 (2009) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10003849023