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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
exchange, as well as bond market. …
Persistent link: https://www.econbiz.de/10012029331
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Venture Capital Optimal Investment Portfolio Strategies Selection in Diffusion - Type Financial Systems in Global Capital Markets with Nonlinearities
Ledenyov, Dimitri - 2017
other regions in the World. We conclude with the notion that the venture capital can greatly improve the macroeconomic …
Persistent link: https://www.econbiz.de/10012971891
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Manager- und transaktionsspezifische Determinanten der Performance von Arbitrage CLOs
Scholz, Julia - 2011
Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan Obligations für das Jahr 2009. Der Fokus liegt dabei auf der Bedeutung der performanceabhängigen Vergütung des CLO-Managers, den Eigenschaften des CLO-Managers und der...
Persistent link: https://www.econbiz.de/10008903410
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Investigating abnormal volatility transmission patterns between emerging and developed stock markets : a case study
Spulbăr, Cristi; Trivedi, Jatin; Birau, Ramona - In: Journal of business economics and management 21 (2020) 6, pp. 1561-1592
The main aim of this paper is to investigate volatility spillover effects, the impact of past volatility on present market movements, the reaction to positive and negative news, among selected financial markets. The sample stock markets are geographically dispersed on different continents,...
Persistent link: https://www.econbiz.de/10012505328
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Monthly art market returns
Bocart, Fabian Y. R. P.; Ghysels, Eric; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 5/100, pp. 1-22
a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation …
Persistent link: https://www.econbiz.de/10012304909
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The information content of the stock and bond return correlation
McMillan, David G. - In: Quantitative finance and economics 2 (2018) 3, pp. 757-775
Persistent link: https://www.econbiz.de/10012156853
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Empirical evidence on the stock-bond correlation
Molenaar, Roderick; Sénéchal, Edouard; Swinkels, Laurens - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 17-36
Persistent link: https://www.econbiz.de/10015050469
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10009306337
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation …
Persistent link: https://www.econbiz.de/10009308302
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Three Essays on Using High Frequency Data in Estimating Financial Risks
Großmaß, Lidan - 2013
partial identification to deal with the biases that currently plague the estimation of realized covariance and correlation. …
Persistent link: https://www.econbiz.de/10010200953