Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1.2000:
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The attractiveness of floor trading versus anonymous electronic trading systems for traders is analysed. We hypothesize that in times of low information intensity, the insight into
Value at Risk VaR has become a key tool for risk management of financial institutions. The regulatory environment and the need for controlling risk in the financial community
The DDMS model considered in this study is only a two-state model, however, it acts like a large N state model in that it can capture a broad range of volatility levels
This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a non-linear coincident financial indicator. The indicator is
The size premium for smaller companies is one of the best-known academic market anomalies. The relevant issue for investors is whether size premium for small-cap stocks is
Tests based on the put–call parity conditions, though weak tests of market efficiency, have been widely used in the empirical literature. However, the error induced in the results
In the present study, using a non-linear Granger causality test to investigate the causal relationship between daily currency futures returns, we find that the ignorance of a
