نتایج جستجو برای: generalized moment method jel classification g15
تعداد نتایج: 2213575 فیلتر نتایج به سال:
This paper investigates the nature of information leadership of the US and Japan in the advanced Asia-Pacific stock markets. Instead of just relying on return and return volatility spillovers from major markets, specific and disaggregated news events are also utilized. In particular, the aim is to examine the nature of spillover effects of scheduled announcements of the US and Japanese macroeco...
A very debated issue in recent years is the cyber crime and its impact on market returns and reputation of firms. The issue is made particularly actual by the proliferation of information technology and internet. Information security breaches are concerned with protecting the accessibility, integrity and confidentiality of information. As a consequence, there are potential high explicit and imp...
Decomposing Differences in the First Moment We propose a simple methodology for decomposing differences in the first moment into characteristics and coefficients effects. This methodology provides a way to apply the Blinder-Oaxaca decomposition to a non-linear function for both aggregate and detailed decompositions. JEL Classification: C20, J70
The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and private off-market investments. A quantitative model with these assumptions delivers a...
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated investors generate private information about the fundamentals that drive returns in many countries. In this paper, the authors use a new microstructure data set...
risk prediction plays an increasing role in financial risk management. this study aims to investigate existence of asymmetry and long memory volatility in tehran stock exchange index daily data over period of 1998-2006. 1467 daily index returns are used for volatility modeling via garch (long & short memory) processes for both normal and t-student innovations. the specification and forecasting ...
oil-exporting economies largely dependent on oil revenues and oil income fluctuation are one of the most important factors that influence sectors of the economy specially the stock market. this paper investigate the relationship between oil markets and stock return volatility and transmission in a selection of opec countries, using a multivariate garch models (full-vech) over the period may 201...
Options are believed to contain unique information on the risk-neutral moment generating function (MGF) or the risk-neutral probability density function (PDF) of the underlying asset. This paper applies the wavelet method to approximate the implied risk-neutral MGF from option prices. Monte Carlo simulations are carried out to show how the risk-neutral MGF can be obtained using the wavelet meth...
In recent years, fossil energy consumption has increased because of economic growth and this has led to carbon dioxide emissions and environmental crises. Governments struggle to solve this problem by appropriate policies such as green or environmental tax policies. This policy is based on costs and can control pollution and increase renewable energy consumption as a substitute for fossil ener...
Diffusive moment equations with an arbitrary number of moments are formally derived from the semiconductor Boltzmann equation employing a moment method and a Chapman-Enskog expansion. The moment equations are closed by employing a generalized Fermi-Dirac distribution function obtained from entropy maximization. The current densities allow for a drift-diffusion-type formulation or a “symmetrized...
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