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Tihana ?krinjaric
This research observes a time varying relationship between stock returns, volatilities and the online search volume in regard to selected CESEE (Central, Eastern and South-Eastern European) stock markets. The main hypothesis of the research assumes that ...
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Retius Chifurira,Knowledge Chinhamu
AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that b...
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Marcelo de Castro Orefice,Pedro L. Valls Pereira
Pág. 389 - 428
In this paper, we discuss the practice of portfolio pumping in Brazil. Although the topic is recurrent in other countries, few studies provide this analysis for the Brazilian case. The statistical study is elaborated in three stages: first, we considered...
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Fernando Nascimento Oliveira,Fernando Cesar dos Santos Cunha
Pág. 251 - 286
This study verifies the contribution of a structural break (if any) to CAPM models. Therefore, we used all the assets listed in Bovespa and New York Stock Exchange in monthly frequencies. Three famous structural breaks tests were used. The results show t...
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Ghazi Al-Assaf
Pág. 43 - 50
The paper investigates the differences between number of indicators used for an early warning system to explain any potential currency crisis for the case of Jordan and Egypt. The comparison is based on estimating various leading indicators that help in ...
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