The performance stability under market volatility
Stock market volatility and bank performance in China
... bank performance in China using EVA, NIM, Return on Equity and Excess Return on Equity as dependent ...stock market volatility and bank competition influence the bank performance in ...bank ...
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Performance Measurement with Market and Volatility Timing and Selectivity
... abnormal performance on the average idiosyncratic ...for volatility timing are positive and 17 of the selectivity coefficients are ...symmetric under the null of zero coefficients, we should find ...
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Commodity Price Volatility under New Market Orientations
... in volatility that would be associated with ...the volatility of prices, the market setting for agricultural commodities is complicated simultaneously by farm, tax, macro, and trade policies of both ...
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On the stability of domestic financial market linkages in the presence of time-varying volatility
... As in the case of the common shock, we find large variation in the impact coefficients of the idiosyncratic shocks and much increased sensitivity when moving from the low- to the high-volatility state. However, ...
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On the stability of domestic financial market linkages in the presence of time-varying volatility
... the stability of asset linkages during varying market ...of market interdependence are often attributed to linkages such as financial flows or exposure to common ...between market pairs to ...
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Volatility Decomposition and Nonparametric Estimation of Spot Volatility of Models with Poisson Sampling under Market Microstructure Noise
... tick-time volatility under microstructure noise we have to adapt an estimator from diffusion models to our situation which can cope successfully with mi- crostructure ...Standard volatility ...
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Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise
... when volatility is time-varying. The reason is that when volatility is stochastic, squared pre-averaged returns are not only dependent but also ...unless volatility is constant 2 ...
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ROLE OF MACROECONOMIC PERFORMANCE ON STOCK MARKET VOLATILITY: AN INDIAN PERSPECTIVE
... the volatility that exists in the ...of market, since market is surrounded by innumerable macroeconomic factors, regulatory bodies, investors, other participants and their emotions and ...
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Firm Market Performance and Volatility in a National Real Estate Sector*
... In this paper, we condition the likelihood of momentums and reversals on U.S. risk factors and on the recent U.S. subprime lending and financial crisis. Our estimation of momentum, or boom probabilities with U.S. risk, ...
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PERFORMANCE STABILITY CONNECTIVITY TIME TO MARKET. A Bloomberg offering
... * Tango and CORE are made available by Bloomberg L.P. and its subsidiaries (including Bloomberg Tradebook LLC in the United States and Bloomberg Tradebook Australia Pty Ltd in Australia). Bloomberg Tradebook LLC is a ...
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PERFORMANCE STABILITY CONNECTIVITY TIME TO MARKET. A Bloomberg offering
... » Supply Chain Management Firms OUR CUSTOMERS * Tango and CORE are made available by Bloomberg L.P. and its subsidiaries (including Bloomberg Tradebook LLC in the United States and Bloomberg Tradebook Australia Pty Ltd ...
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Understanding Market Volatility
... would volatility influence your portfolio decisions? Volatility is a useful tool that can help you set expectations for possible ...or under the average, or, within one standard deviation of the ...
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Emerging Market Volatility
... *Past performance is no guarantee of future results. Source: Bloomberg data as of December 31, 2013. FIGURE 5: Differentiated EM exposures have been less volatile than broad EM Source: MSCI, Bloomberg data as of ...
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Leverage Effect and Stochastic Volatility in the Agricultural Commodity Market under the CEV Model
... “long‑term volatility dynamics”. The wheat futures market is characterized more by driftless conditions than in the case of wheat futures ...stochastic volatility models, there is a parameter σ, ...
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Performance and Dynamic Stability of a Variable-Pitch Drone Under Turbulence
... surfaces under consideration can change the Reynolds ...numbers under 2000 are laminar, between 2000 and 4000 are transitional, and over 4000 are ...turbulence under these limits would also change ...
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Volatility Spillovers Across User-Generated Content and Stock Market Performance
... Furthermore, there are significant mean spillover effects between the various user-generated content variables: growth rates of positive tweets and blog posts both increase th[r] ...
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Dividend Yield and Stability versus Performance at the German Stock Market
... dividend stability measured as standard deviation of dividend yields did not have strong influence neither on mean return, nor on risk or ...dividend stability on total risk and systematic ...dividend ...
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Index Terms –Stock market volatility, impact of volatility, factors of volatility, growth and volatility, trade
... stock volatility-volume relation for the period 1995-2005 and hence contribute to the study of emerging markets‘ liberalization after the financial crisis in ...stock market by employing the MG-GARCH model ...
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The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
... the volatility components in this liquid and short term ...smooth volatility factor, there exists a significant jump component in the futures ...smooth volatility component as well as a jump ...
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Modelling asymmetry and persistence under the impact of sudden changes in the volatility of the Indian stock market
... of volatility modelling and to assess the forecasting ability using the GARCH class of ...in volatility are Inclan and Tiao’s (1994) (IT) ICSS algo- rithm and the Sanso, Arago, and Carrion (2004) (AIT) ...
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