نتایج جستجو برای: and rational market risk hypothesis that says value stocks areinherently riskier than growth stocks rational market riskhypothesis has two different explanations leverage effect andvolatility feedback we use asymmetric garch
تعداد نتایج: 18130480 فیلتر نتایج به سال:
In this paper, we quantify market risk at an intraday time horizon using normal GARCH, Student GARCH, RiskMetrics and high-frequency duration (Log-ACD) models set in the framework of the conditional VaR methodology. Because of the small time horizon of the intraday returns (15 and 30 minute returns in this paper), an evaluation of intraday market risk can be useful to market participants (trade...
the present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely data envelopment analysis (dea). huge amounts of money are being invested in financial market. as a result, portfolio performance evaluation has created a great deal of interest among people. we kn...
We investigate the relative importance of various factors in explaining the volatility smile observed in the prices of options on individual stocks traded on the Chicago Board Options Exchange. First, we verify that, on average, the slope of the volatility smile on stock options is slightly negative, but not as steep as the smile for S&P 500 index options. Second, we find that stocks that have ...
abstract this paper discusses several commonly used models for strategic marketing¹ including market environmental analysis methods (i.e. swot and pest analysis) and strategic marketing tools and techniques (i.e. boston matrix and shell directional policy matrix)and shows how these models may help a firm to achieve its strategic goals. at first, the main reason for doing this research is de...
the concepts of similarity and dissimilarity have been the interest of many researchers. basically, in the studies the similarity between two objects or phenomena, has been discussed. in this thesis, we consider the case when the resemblance or similarity among three objects or phenomena of a set, 3-similarity in our terminology, is desired. later we will extend our definitions and propos...
abstract the present study was conducted to investigate the effect of using model essays on the development of writing proficiency of iranian pre-intermediate efl learners. to fulfill the purpose of the study, 55 pre- intermediate learners of parsa language institute were chosen by means of administering proficiency test. based on the results of the pretest, two matched groups, one as the expe...
target tracking is the tracking of an object in an image sequence. target tracking in image sequence consists of two different parts: 1- moving target detection 2- tracking of moving target. in some of the tracking algorithms these two parts are combined as a single algorithm. the main goal in this thesis is to provide a new framework for effective tracking of different kinds of moving target...
This thesis consists of an introductory chapter and four self-contained essays on the value relevance of financial statement information. Essay 1 The purpose of this essay is to examine relevance of environmental information from an investor’s perspective. The study proposes that the market value of companies will reflect both financial and environmental performance. The theoretical foundation ...
Stock price and its changes which reflect the individuals’ investment decisions in economic environment are the most important factors in evaluating the economic value of a company in stock market. Stock price changes are not independent of each other. Therefore, study of the correlation between stock price changes provides a better understanding of market performance for investors. Analysis of...
Modelling the asymmetric effect between return and volatility has long been an important issue in finance as well as in econometrics. While much literature interpret this asymmetric effect as a natural result from leverage and modelled as a threshold GARCH process, it has now accepted that it is more likely to due to the feedback effect from expected volatility. Considering this explanation, in...
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