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Author : Rémi Galarneau-Vincent
Release : 2022
Genre : Derivatives (Mathematics)
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Volatility and Extreme Events in Financial and Electricity Markets by : Rémi Galarneau-Vincent
Download or read book Three Essays on Volatility and Extreme Events in Financial and Electricity Markets written by Rémi Galarneau-Vincent. This book was released on 2022. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shane K. Clark
Release : 2015
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Information, Volatility, and Crises in Equity Markets by : Shane K. Clark
Download or read book Three Essays on Information, Volatility, and Crises in Equity Markets written by Shane K. Clark. This book was released on 2015. Available in PDF, EPUB and Kindle. Book excerpt: Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Author : Bjørn Espen Eckbo
Release : 2007-05-21
Genre : Business & Economics
Kind : eBook
Book Rating : 919/5 ( reviews)
Book Synopsis Handbook of Corporate Finance by : Bjørn Espen Eckbo
Download or read book Handbook of Corporate Finance written by Bjørn Espen Eckbo. This book was released on 2007-05-21. Available in PDF, EPUB and Kindle. Book excerpt: Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms’ financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything “corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work. *The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance *Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance *The series is international in scope with contributions from field leaders the world over
Author : Xunpeng (Roc) Shi
Release : 2021-06-04
Genre : Technology & Engineering
Kind : eBook
Book Rating : 454/5 ( reviews)
Book Synopsis Energy Market and Energy Transition: Dynamics and Prospects by : Xunpeng (Roc) Shi
Download or read book Energy Market and Energy Transition: Dynamics and Prospects written by Xunpeng (Roc) Shi. This book was released on 2021-06-04. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francois Longin
Release : 2016-10-17
Genre : Business & Economics
Kind : eBook
Book Rating : 190/5 ( reviews)
Book Synopsis Extreme Events in Finance by : Francois Longin
Download or read book Extreme Events in Finance written by Francois Longin. This book was released on 2016-10-17. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
