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Extreme return correlation and volatility: a two‐threshold approach

Sankaran, Harikumar; Nguyen, Anh; Harikumar, Jayashree - In: American Journal of Business 27 (2012) 2, pp. 154-173

Purpose – The purpose of this paper is to examine the relation between extreme return correlation and return volatility … of the relation between correlation and volatility is then based on the extent of overlapping extreme return clusters … across DJIA, S&P 500 and NASDAQ composite. Findings – It is found that the correlation positive extreme returns within …

Persistent link: https://www.econbiz.de/10014668311

Hedge fund return volatility and comovement: recent evidence

Sabbaghi, Omid - In: Managerial Finance 38 (2011) 1, pp. 101-119

comovement using the cross‐sectional volatility, covariance, and correlation metrics proposed in Adrian (2007). In addition, the …

Persistent link: https://www.econbiz.de/10014940218

The impact of the global financial crisis on firm‐level risk of the S&P 500

Loviscek, Anthony; Riley, Elven - In: Managerial Finance 39 (2013) 7, pp. 641-652

average correlation coefficient between S&P 500 firms rose during the crisis from 0.20 to 0.35, an increase of 75 percent … during major crises can be hard to achieve because the average correlation coefficient between stock returns may rise …

Persistent link: https://www.econbiz.de/10014940305

The role of foreign direct investment in economic development: A study of Nigeria

Adegbite, Esther O.; Ayadi, Folorunso. S. - In: World Journal of Entrepreneurship, Management and … 6 (2011) 1/2, pp. 133-147

The study investigates the relationship between foreign direct investment flows and economic growth in Nigeria. The study became necessary because as never before, the civilian governments since 1999 have employed several strategies to ensure increased flow of FDI into Nigeria because of its...

Persistent link: https://www.econbiz.de/10015040240

The effectiveness of carbon pricing : the role of diversification in a firm's investment decision

Compernolle, Tine; Kort, Peter M.; Thijssen, Jacco J. J. - In: Energy economics 112 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013350263

Analysis of the degree of ruralization at the territorial level

Bădan, Daniela Nicoleta - In: Agrarian economy and rural development : trends and …, (pp. 216-223). 2023

This paper presents the main characteristics of the workforce in rural areas. The primary objective of the study is to highlight the importance of the workforce resource in the Romanian rural space, as a key element of sustainable development, given that 47.7% of the population resides in rural...

Persistent link: https://www.econbiz.de/10014547072

A Stackelberg-Nash equilibrium with investment and reinsurance in mixed leadership game

Zhang, Qingqing; Liang, Zhibin; Wang, Fudong - In: Scandinavian actuarial journal 2024 (2024) 7, pp. 705-738

Persistent link: https://www.econbiz.de/10015052478

Analysis of the degree of ruralization at the territorial level

Bădan, Daniela Nicoleta - 2023

Persistent link: https://www.econbiz.de/10015049566

Cross border acquisition of JLR : a boon or pain for Tata motors

Namita, Ms.; Gupta, Ms. Arzoo - In: Financial markets, institutions and risks : FMIR 3 (2019) 2, pp. 52-58

Persistent link: https://www.econbiz.de/10012034139

Survival analysis in LGD modeling

Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 6-27

The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...

Persistent link: https://www.econbiz.de/10011460080