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An S-shaped crude oil price return-implied volatility relation : parametric and nonparametric estimations
Silva Júnior, Júlio César Araújo da - In: International journal of economics and finance 9 (2017) 12, pp. 54-70
Persistent link: https://www.econbiz.de/10011782652
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Forecasting the variance and return of Mexican financial series with symmetric GARCH models
PADILLA, Fátima Irina VILLALBA; FLORES-ORTEGA, Miguel - In: Theoretical and Applied Economics XVIII(2013) (2013) 3(580), pp. 61-82
The present research shows the application of the generalized autoregresive conditional heteroskedasticity models (GARCH) in order to forecast the variance and return of the IPC, the EMBI, the weighted-average government funding rate, the fix exchange rate and the Mexican oil reference, as...
Persistent link: https://www.econbiz.de/10011005041
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The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
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From low resource slack to inflexibility : the share price effect of operational efficiency
Yousefi, Hamed; Yung, Kenneth K.; Najand, Mohammad - In: International review of financial analysis 90 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014470519
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Effect of exchange rate uncertainty on private investment: empirical analysis for Iran
Ahmadi, Leila; Samaei, Roghayeh Torki; Alali, Simin - In: African Journal of Economic and Sustainable Development 3 (2014) 1, pp. 23-32
on investment is ambiguous and could be found only by empirical analysis. In this study the volatility of prices and …
Persistent link: https://www.econbiz.de/10010817065
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Asset pricing in incomplete markets : valuing gas storage capacity
Zhao, Lin; Wijnbergen, Sweder van - 2015
common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than … with the volatility of the spot market. This is an intuitive result because storage capacity can serve as an effective …
Persistent link: https://www.econbiz.de/10011333083
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Explosive oil prices
Gronwald, Marc - 2013
This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...
Persistent link: https://www.econbiz.de/10009786017
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Optimal timing for the sale of an indivisible asset with jumps : a numerical approach
Alhashel, Bader - In: The journal of applied business research 31 (2015) 1, pp. 255-264
Persistent link: https://www.econbiz.de/10010503434
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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition
Zhao, Lin; Wijnbergen, Sweder van - 2014
. First, empirical data are often characterized by time-varying volatility and fat tails; therefore we use Gaussian GAS …
Persistent link: https://www.econbiz.de/10010465169
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The short-run and long-run components of idiosyncratic volatility and stock returns
Liu, Yunting - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1573-1589
Persistent link: https://www.econbiz.de/10012887644