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Does Basel II pillar 3 risk exposure data help to identify risky banks?

Sabiwalsky, Ralf - 2012

risk factors, and uses measures of bank sensitivity with respect to these risk factors. We use two sets of sensitivity … as if no market prices of equity were available for the bank the forecast is made for. We do this for banks for which …

Persistent link: https://www.econbiz.de/10009427655

FDICIA and bank failure contagion : evidence from the two failures of first city bancorporation

Weigand, Robert A.; Fraser, Donald R.; Baradwaj, Babu G. - In: Journal of economics and finance 23 (1999) 1, pp. 99-111

Persistent link: https://www.econbiz.de/10001445485

Foreign ownership restriction and momentum : evidence from emerging markets

Qin, Yafeng; Bai, Min - In: International review of finance 14 (2014) 2, pp. 237-261

Persistent link: https://www.econbiz.de/10010519317

Volatility and forecasting of BSE BANKEX

Bhattacharya, Basabi; Tanima Niyogi Sinha Roy - In: Journal of quantitative economics : official journal of … 7 (2009) 1, pp. 60-77

Persistent link: https://www.econbiz.de/10009153693

Predicting volatility and correlations with Financial Conditions Indexes

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of empirical finance 29 (2014), pp. 435-447

Persistent link: https://www.econbiz.de/10011300449

Predicting covariance matrices with financial conditions indexes

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - 2013

Persistent link: https://www.econbiz.de/10009784937

Volatility Modeling and Forecasting for Banking Stock Returns

Murari, Krishna - 2013

popular banking sector CNX bank index of national stock exchange of India (NSE) which includes 12 most liquid and large …-Rissanen. As per the analysis, ARIMA (1,0,2) model was found to be the best fit to forecast the volatility of bank stock returns … and selling decisions for bank stocks …

Persistent link: https://www.econbiz.de/10013071650

Forecasting Realized Volatility Measures with Multivariate and Univariate Models : The Case of the US Banking Sector

Cubadda, Gianluca - 2018

This paper compares the forecasting performances of both univariate and multivariate models for realized volatilities series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are characterized by the presence of long range...

Persistent link: https://www.econbiz.de/10012908777

Forecasting volatility of selected banks of Dhaka Stock Exchange (DSE), Bangladesh with GARCH (p, q) type models

Hossain, M. S.; Md. Azizul Baten; Mukta, F. B - In: Journal of economic cooperation & development 42 (2021) 1, pp. 117-141

Persistent link: https://www.econbiz.de/10013170936

Forecasting realized volatility measures with multivariate and univariate models : the case of the US banking sector

Cubadda, Gianluca; Hecq, Alain W. J.; Riccardo, Antonio - In: Financial mathematics, volatility and covariance modelling, (pp. 286-307). 2019

Persistent link: https://www.econbiz.de/10012249154

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