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Articles 1 - 4 of 4
Full-Text Articles in Physical Sciences and Mathematics
Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago
Asimmetria Del Rischio Sistematico Dei Titolo Immobiliari Americani: Nuove Evidenze Econometriche, Paola De Santis, Carlo Drago
Carlo Drago
In questo lavoro riscontriamo un aumento del rischio sistematico dei titoli del mercato immobiliare americano nell’anno 2007 seguito da un ritorno ai valori iniziali nell’anno 2009 e si evidenzia la possibile presenza di break strutturali. Per valutare il suddetto rischio sistematico è stato scelto il modello a tre fattori di Fama e French ed è stata studiata la relazione tra l’extra rendimento dell’indice REIT, utilizzato come proxy dell’andamento dei titoli immobiliari americani, e l’extra rendimento dell’indice S&P500 rappresentativo del rendimento del portafoglio di mercato. I risultati confermano la presenza di un “Asymmetric REIT Beta Puzzle” coerentemente con alcuni precedenti studi …
Modelling Stock Returns In 'Volatility-In-Mean' Framework Under Up And Down Market Movements, Srikanta Kundu Dr.
Modelling Stock Returns In 'Volatility-In-Mean' Framework Under Up And Down Market Movements, Srikanta Kundu Dr.
Doctoral Theses
The first chapter of this thesis begins with a brief review of the existing literature on empirical studies on stock returns, especially those in the context of the relationship between risk and return, at both univariate and multivariate levels. In the next section, studies on the relationship between stock return and monetary policy are reviewed. The motivation of this work is discussed in Section 1.4. Finally, the format of the thesis is given in Section 1.5.A Brief Review of the Literature on Risk-Return Relationship-Both Univariate and Multivariate Cases. In this section, we first present a brief review of this literature …
Finance, Fear And Family: Issues Of Trust And The Common Ground With Terrorist Funding, David Cook, Timothy Smith
Finance, Fear And Family: Issues Of Trust And The Common Ground With Terrorist Funding, David Cook, Timothy Smith
David M Cook
In the immediate aftermath of al-Qaeda‘s September 11 attacks on the United States of America, examinations of terrorist funding focused on the Middle Eastern and South Asian use of Hawala and non-traceable financial transactions. However, whilst the cloaking of identity is certainly a part of criminal activity for funds transfer, there are other factors. South Asia‘s community banking norms align far more closely with informal systems that follow centuries-old customs of familial trust rather than reportable record keeping. Tightened restrictions on money movement in the form of identity checks and statements of purpose have coerced more than two hundred million …
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
A Stochastic Volatility Model With Leverage Effect And Regime Switching, Hong Jiang
Legacy Theses & Dissertations (2009 - 2024)
Modeling the volatility of asset returns is a very important study in financial economics. Among the time-varying volatility models, the Stochastic Volatility (SV) models are argued to have advantages over the autoregressive conditional heteroskedasticity (ARCH) models. The purpose of this article is to put forward a generalized and flexible Stochastic Volatility model, the Stochastic Volatility Model with Leverage Effect and Regime Switching (SVLR model), which could capture the complex features of financial time series to the most extent.