Modelling Volatility and Risk-return of Equities - 4 Angebote vergleichen
Bester Preis: € 47,40 (vom 02.01.2017)1
Modelling Volatility and Risk-return of Equities
DE HC NWISBN: 9783330013520 bzw. 3330013524, in Deutsch, Lap Lambert Academic Publishing, gebundenes Buch, neu.
Lieferung aus: Deutschland, Versandkostenfrei innerhalb von Deutschland.
Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the daily returns of the selected equities as well as the risk-return relationship was investigated using the univariate GARCH-M (1, 1), EGARCH-M (1, 1) and TGARCH-M (1, 1) models and the results indicated the existence of positive risk premium meaning investors were compensated for holding risky assets. The results also showed that, the asymmetry models gave a better fit than the symmetry model indicating the presence of leverage effect among the selected equities. TGARCH-M (1, 1) model with the student-t distribution was the appropriate model selected. It was revealed that volatility was persistent (explosive process) in most of the selected equities with the three distributional assumptions. Lieferzeit 1-2 Werktage.
Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the daily returns of the selected equities as well as the risk-return relationship was investigated using the univariate GARCH-M (1, 1), EGARCH-M (1, 1) and TGARCH-M (1, 1) models and the results indicated the existence of positive risk premium meaning investors were compensated for holding risky assets. The results also showed that, the asymmetry models gave a better fit than the symmetry model indicating the presence of leverage effect among the selected equities. TGARCH-M (1, 1) model with the student-t distribution was the appropriate model selected. It was revealed that volatility was persistent (explosive process) in most of the selected equities with the three distributional assumptions. Lieferzeit 1-2 Werktage.
2
Modelling Volatility and Risk-return of Equities
EN NWISBN: 9783330013520 bzw. 3330013524, in Englisch, neu.
Lieferung aus: Deutschland, Versandfertig innerhalb von 3 Wochen.
Modelling Volatility and Risk-return of Equities, Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the daily returns of the selected equities as well as the risk-return relationship was investigated using the univariate GARCH-M (1, 1), EGARCH-M (1, 1) and TGARCH-M (1, 1) models and the results indicated the existence of positive risk premium meaning investors were compensated for holding risky assets. The results also showed that, the asymmetry models gave a better fit than the symmetry model indicating the presence of leverage effect among the selected equities. TGARCH-M (1, 1) model with the student-t distribution was the appropriate model selected. It was revealed that volatility was persistent (explosive process) in most of the selected equities with the three distributional assumptions.
Modelling Volatility and Risk-return of Equities, Principal component analysis was used in selecting equities that characterized each sector. The results revealed that, for the Finance sector, CAL, ETI and GCB were selected, the Distribution sector had PBC and TOTAL selected, the Food and Beverage sector had FML selected, the Information Communication Technology sector had CLYD selected, the Insurance sector had EGL selected, the Manufacturing and Mining sectors had PZC, UNIL and TLW, AGA selected respectively. The symmetry and asymmetry of the daily returns of the selected equities as well as the risk-return relationship was investigated using the univariate GARCH-M (1, 1), EGARCH-M (1, 1) and TGARCH-M (1, 1) models and the results indicated the existence of positive risk premium meaning investors were compensated for holding risky assets. The results also showed that, the asymmetry models gave a better fit than the symmetry model indicating the presence of leverage effect among the selected equities. TGARCH-M (1, 1) model with the student-t distribution was the appropriate model selected. It was revealed that volatility was persistent (explosive process) in most of the selected equities with the three distributional assumptions.
3
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Modelling Volatility and Risk-return of Equities (2016)
DE PB NW RPISBN: 9783330013520 bzw. 3330013524, in Deutsch, Lap Lambert Academic Publishing, Taschenbuch, neu, Nachdruck.
Lieferung aus: Deutschland, Versandkostenfrei.
Von Händler/Antiquariat, English-Book-Service Mannheim [1048135], Mannheim, Germany.
This item is printed on demand for shipment within 3 working days.
Von Händler/Antiquariat, English-Book-Service Mannheim [1048135], Mannheim, Germany.
This item is printed on demand for shipment within 3 working days.
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