Similar Search Results

Comparative analysis of risk ratings for the East European region

Hoti, Suhejla - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 449-462

risk ratings using univariate and multivariate volatility models for nine East European countries. These ratings are …

Persistent link: https://www.econbiz.de/10010749140

Polynomial chaos for simulating random volatilities

Pulch, Roland; van Emmerich, Cathrin - In: Mathematics and Computers in Simulation (MATCOM) 80 (2009) 2, pp. 245-255

. The volatility usually enters the model as a constant parameter. However, since this constant has to be estimated with … respect to the underlying market, it makes sense to replace the volatility by an according random variable. Consequently, a …

Persistent link: https://www.econbiz.de/10010749417

Watkins, Clinton; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 567-579

Related commodity markets have two characteristics: (i) they may be expected to follow similar volatility processes … index is how the index reflects the corresponding properties of its components, particularly with regard to volatility and … risk. This paper investigates the volatility of a market index relative to the volatility of its underlying assets by …

Persistent link: https://www.econbiz.de/10010749523

Energy price risk and the sustainability of demand side supply chains

Mulhall, Rachel Ann; Bryson, John R. - In: Applied Energy 123 (2014) C, pp. 327-334

they are within. A comparison is made between the management of metal and energy price volatility in the intermediate metal …

Persistent link: https://www.econbiz.de/10010789855

Are the Asia and Pacific Small States Different from Other Small States?

Tumbarello, Patrizia; Cabezon, Ezequiel; Wu, Yiqun - International Monetary Fund (IMF) - 2013

The small states of the Asia and Pacific region face unique challenges in raising their growth potential and living standards relative to other small states due to their small populations, geographical isolation and dispersion, narrow export and production bases, exposure to shocks, and heavy...

Persistent link: https://www.econbiz.de/10010790232

ON THE VOLATILITY AS A DETERMINANT OF THE FINANCIAL CRISIS

PALAZZESI, Elettra; COVELLI, Andrea; CASCIELLO, Giovanni - In: Curentul Juridic, The Juridical Current, Le Courant … 57 (2014) June, pp. 101-109

by analysing it from a strictly technical point of view. In particular the establishment of the "securitized volatility …

Persistent link: https://www.econbiz.de/10010790574

Financial Markets, BanksÕ Cost of Funding, and FirmsÕ Decisions: Lessons from Two Crises

Balduzzi, Pierluigi; Brancati, Emanuele; Schiantarelli, … - Dipartimento di Economia e Finanza (DEF), Libera … - 2014

We test whether financial fluctuations affect firmsÕ decisions through their impact on banksÕ cost of funding. We exploit two shocks to Italian banksÕ CDS spreads and equity valuations: the 2007Ð 2009 financial crisis and the 2010Ð2012 sovereign debt crisis. Using newly available data...

Persistent link: https://www.econbiz.de/10010791316

How Should Donors Respond to Resource Windfalls in Poor countries? From Aid to Insurance- Working Paper 372

Dobronogov, Anton; Gelb, Alan; Saldanha, Fernando Brant - 2014

transfers to mitigate volatility. The paper outlines ways in which the International Development Association could use hedging …

Persistent link: https://www.econbiz.de/10010793684

Hedge fund attributes and volatility around equity offerings

Hull, Robert; Kwak, Sungkyu; Walker, Rosemary - In: Journal of Economics and Finance 38 (2014) 3, pp. 359-382

The purpose of this paper is to explore the potential influence of hedge fund attributes on idiosyncratic volatility … due to the pervasive concerns about the impact of hedge funds on volatility. We choose a time frame from 1999 to 2005 …

Persistent link: https://www.econbiz.de/10010794888

RISK MEASUREMENT USING THE ? (BETA) COEFFICIENT FOR FINANCIAL INVESTMENT COMPANIES

Berceanu, Dorel; Sichigea, Nicolae; Militaru, Daniel - In: Annals of University of Craiova - Economic Sciences Series 1 (2014) 42, pp. 279-288

data for the past four years to measure risk using the „volatility” of these securities in relation to the market. We …

Persistent link: https://www.econbiz.de/10010798215