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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading: Toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies 7 (2019) 3, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10013199583
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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10012029331
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Reserve Options Mechanism and FX Volatility
Oduncu, Arif; Akcelik, Yasin; Ermisoglu, Ergun - Türkiye Cumhuriyet Merkez Bankası - 2013
Reserve Options Mechanism (ROM), which is the option to hold FX or gold reserves in increasing tranches in place of Turkish Lira reserve requirements of Turkish banks, was designed and launched by the Central Bank of the Republic of Turkey (CBRT). ROM is a tool unique to the CBRT and it is aimed...
Persistent link: https://www.econbiz.de/10010941443
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The volatility of green and non-green sovereign bonds on the emerging EU markets
Mészáros, Mercédesz; Csiki, Máté; Kiss, Gábor Dávid - In: European financial and accounting journal : EFAJ 18 (2023) 1, pp. 25-44
volatilities, and the green premiums towards their standard forms using GARCH models. Our result suggested that the Polish and …
Persistent link: https://www.econbiz.de/10014549508
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GARCH processes with skewed and leptokurtic innovations: Revisiting the Johnson Su case
Simonato, Jean-Guy - In: Finance Research Letters 9 (2012) 4, pp. 213-219
We revisit the specification of GARCH processes with Johnson Su innovations examined in Choi and Nam [2008. Journal of …
Persistent link: https://www.econbiz.de/10010595306
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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
The empirically most relevant stylized facts when it comes to modeling time varying financial volatility are the asymmetric response to return shocks and the long memory property. Up till now, these have largely been modeled in isolation though. To more flexibly capture asymmetry also with...
Persistent link: https://www.econbiz.de/10010575949
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Bivariate GARCH models for single asset returns
Skoczylas, Tomasz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2015
enables to examine simultaneous dependencies between them. Proposed models are compared with benchmark GARCH and range …-based GARCH (RGARCH) models in terms of prediction accuracy. All models are estimated with maximum likelihood method, using time … series of EUR/PLN spot rate quotations and WIG20 index. Results are very encouraging especially for foreasting Value-at-Risk …
Persistent link: https://www.econbiz.de/10011170258
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - In: Journal of Banking & Finance 37 (2013) 3, pp. 847-853
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are … for the Value at Risk and discuss how the estimation error comes into play for the Expected Shortfall. We identify two …
Persistent link: https://www.econbiz.de/10011065737
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On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012
In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are … for the Value at Risk and discuss how the estimation error comes into play for the Expected Shortfall. We identify two …
Persistent link: https://www.econbiz.de/10010564003
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010412353