Search results for "GARCH"
showing 10 items of 43 documents
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis
2005
In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan…
Valūtas riska novērtēšanas metodes
2016
Pēdējo gadu laikā, saasinoties situācijai Austrumeiropā, ir piedzīvotas valūtas kursa svārstīguma krasas pārmaiņas, tādēļ ir iespējamas arī turpmākas valūtas kursu krīzes un to izraisītas valūtas svārstības. Pamatojoties uz to, maģistra darbs „Valūtas riska novērtēšanas” izstrādāts ar mērķi pētīt valūtas riska novērtēšanas metodes gan Latvijā gan Eiropā, kā arī izstrādāt priekšlikumus banku valūtas risku pārvaldības uzlabošanai. Darbs sastāv no trīs daļām – teorētiskā par valūtas riska vēsturisko attīstību, tā ietekmējošajiem faktoriem un normatīvo regulējumu, analītiskā par valūtas risku novērtēšanas metodēm, un praktiskās par valūtas riska modelēšanu. Darba apjoms ir 88 lappuses, tajā iek…
The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs
2020
Abstract This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020. The investigation is based on the existing evidence on positive correlations between stock prices and oil prices, but it also considers the shift from non-renewable to renewable sources of energy. A two-stage GARCH(1,1) model and a Granger causality test were applied. Our results show that volatility clustering is present in the renewable energy companies‘ stock prices, but, oil price volatility does not seem to induce any significant effec…
Oligarchies and Client Systems in Rural communities in the South of the Crown of Aragón (13th to 15th Centuries)
2010
Studies of late medieval Hispanic client systems generally focus on networks of noble power, to the exclusion of the peasantry. This is doubtless in part because the peasantry has traditionally been considered to represent a largely homogenous social group defined in opposition to the feudal nobility, whose members defended common interests. However, the last few years have witnessed a profusion of studies into the rural, or peasant, elites of Western Europe during the late medieval and modern periods, and these highlight not only significant disparities between the economic status of those and that of the remainder of the peasantry, but also their employment of specific power-mechanisms in…
Firm Size and Volatility Analysis in the Spanish Stock Market
2011
In this article, three strongly related questions are studied. First, volatility spillovers between large and small firms in the Spanish stock market are analyzed by using a conditional CAPM with an asymmetric multivariate GARCH-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated. Results show significant evidence for this hypothesis. Finally, the study uncovers that conditional beta coefficient estimates within the used model are insensitive to sign and size asymmetries in the unexpected shock re…
Poderes locales, conflictividad y cambio social en la España agraria. Del Antiguo Régimen a la sociedad burguesa
1993
Se analizan los debates y las comunicaciones del VI Seminario de Historia Agraria en la sesión dedicada a los poderes locales en la España del siglo XIX. Se sitúa la discusión en la problemática del cambio social, las actitudes y la conflictividad colectivas. The various discussions and papers from the 4th Seminar on Agrarian History in its meeting about the local authorities in the 19th-century Spain, are discussed. The reflection focusses on the set of problems of the social change, on the collective attitudes, tensions and disputes. jmillan@uv.es
La contestación a los próceres. Pugna de facciones y desórdenes en Valencia (1376-1478)
2021
La intermitencia de los ataques verbales y escritos contra las decisiones de gobierno de la ciudad de Valencia a lo largo de un siglo se inscriben en una dinámica absorbente, liderada por partidos rivales de la oligarquía, capaces éstos de asumir reivindicaciones grupales ajenas y de arrastrar a parte de los ciudadanos y de los menestrales bajo fórmulas clientelares. Las circunstancias concretas de las protestas superaron los cauces institucionales previstos en una asamblea municipal renovada anualmente y con amplia representación social, la cual se demostró más como plataforma para la adhesión de los vecinos respecto a los líderes de la sociedad política y menos como órgano de discusión po…
Analisi e modelli statistici per serie storiche economiche
2020
Il testo presenta una rassegna di analisi e modelli statistici per serie storiche economiche con riferimento ai metodi maggiormente applicati a livello professionale. La trattazione è corredata da ampia analisi empirica con riferimento al software R e Python.