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When the U.S. Stock Market Becomes Extreme?
Aboura, Sofiane - In: Risks 2 (2014) 2, pp. 211-225
Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....
Persistent link: https://www.econbiz.de/10011030559
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The Determinants of Capital Structure in Emerging Capital Markets: Evidence from Serbia
Malinić, Dejan; Denčić-Mihajlov, Ksenija; … - In: European Research Studies Journal XVI (2013) 2, pp. 98-119
. Leverage level is significantly positively affected by the income volatility and growth opportunities of Serbian firms. Our …
Persistent link: https://www.econbiz.de/10011031786
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Industrial Transformation, Heterogeneity in Price Stickiness, and the Great Moderation
Flamini, Alessandro; Ascari, Guido; Rossi, Lorenza - Centre pour la Recherche Économique et ses … - 2012
Since the ’80s the volatility of output growth and inflation experienced by several industrialized countries has … volatility of inflation and output growth. …
Persistent link: https://www.econbiz.de/10011031880
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Forecasting gains of robust realized variance estimators: evidence from European stock markets
Sharma, Prateek; Sharma, Swati - In: Economics Bulletin 34 (2014) 4, pp. 2377-2386
examines the benefits of using RRV estimators instead of the RV estimator, in the context of volatility forecasting. The …
Persistent link: https://www.econbiz.de/10011039042
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Are banks happy when managers go long? The information content of managers’ vested option holdings for loan pricing
Dezső, Cristian L.; Ross, David Gaddis - In: Journal of Financial Economics 106 (2012) 2, pp. 395-410
greater distance to default, and lower equity volatility. …
Persistent link: https://www.econbiz.de/10011039229
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How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process
Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-Min - In: Energy Economics 42 (2014) C, pp. 343-354
volatility of crude oil markets in the presence of long memory and structural changes. To do so, we first discern OPEC's oil … have a significant effect on both returns and volatility of the crude oil markets, particularly that of the WTI. Moreover … (Brent) oil markets. The presence of structural breaks reduces the persistence of volatility. Accounting for OPEC's scheduled …
Persistent link: https://www.econbiz.de/10011039532
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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - In: Energy Economics 37 (2013) C, pp. 16-28
This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...
Persistent link: https://www.econbiz.de/10011039549
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Volatility transmission and volatility impulse response functions in crude oil markets
Jin, Xiaoye; Xiaowen Lin, Sharon; Tamvakis, Michael - In: Energy Economics 34 (2012) 6, pp. 2125-2134
connections through the analysis of Volatility Impulse Response Functions (VIRF) for two historical shocks, namely the 2008 … conditional volatilities. These results provide useful insights into the volatility transmission mechanism in crude oil markets …
Persistent link: https://www.econbiz.de/10011039618
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Financial crisis, REIT short-sell restrictions and event induced volatility
Devaney, Michael - In: The Quarterly Review of Economics and Finance 52 (2012) 2, pp. 219-226
restricted REITs and a sample of fifty REITs not on the list. Rather than mitigate volatility it was determined that fifty of the …
Persistent link: https://www.econbiz.de/10011040170
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The impact of US news on the German stock market—An event study analysis
Dimpfl, Thomas - In: The Quarterly Review of Economics and Finance 51 (2011) 4, pp. 389-398
, it is processed rapidly. Volatility is found to be significantly higher on news days. …
Persistent link: https://www.econbiz.de/10011040175