Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 16 of 16 for “"Leverage effect"”.
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A portfolio analysis based on the leverage effect of exchange rates on JSE stocks
… by capital controls, can minimise the adverse effects of a volatile ZAR by constructing stock portfolios based on three classifications. Stocks are defined as either hedge, leverage or play, according to the currency denomination of revenues earned and costs incurred by the company. Beta …
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Essays on Volatility Risk and Security Returns
… market variance risk premium is related to the leverage effect, defined as the conditional covariance between market returns and changes in the conditional market variance. The sign of the relation between the market variance risk premium and the market leverage effect depends on the coefficient …
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A new approach to calculate and forecast dynamic conditional correlation - the use of a multivariate heteroskedastic mixture model
… volatility clustering, correlation clustering, leverage effect, fat tails, skewness and leptokurtosis. Since the model flexibility given this assumption can be greatly enhanced, after a thorough comparison we find significant evidence of outperformance of our models over other alternative models …
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The Effects of Dilutions and Payout Policy on Equity- and Stock-linked Call Options on a Firm with Leverage
… claims on equity. They provide insight into the effects of changing capital-debt structures on the value of options. Backwell et al. (2022) developed a capital structure framework which, in addition to a typical structural model, specifically considers the number of outstanding shares. This …
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Automated determination of the theoretical range of hip motion prior to total hip arthroplasty using 3D models created from pelvic CT scans
… pops out of the replaced acetabulum due to a leverage effect. It affects about 4,000 patients a year in the UK, for 80,000 THA1. To prevent this complication, surgeons would benefit from estimating the range of angular hip motion that can be achieved by their patient without impingement …
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Two Essays: “Does Corporate Governance Affect the Adjustment Speed towards Target Capital Structure?” and “Do Option Traders on REITs and Non-REITs React Differently to New Information?”
… transactions typically involve a great degree of leverage, reactions can be greater for REITs than for non-REITs; on the other hand, there are several reasons that REITs are subject to potentially a lower degree of excessive reactions. Empirical results indicate that the reactions to information …
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Pricing of contingent claims under the real-world measure
… features, such as leptokurtic returns, the leverage effect and a stochastic yet stationary volatility structure. Under a stylised version of the minimal market model with a constant short rate, we derive analytic solutions to the complete suite of contingent claims examined within the …
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UAB „Grivzas“ finansninių išteklių panaudojimo taikant akcizų mokėjimo laikino atidėjimo režimą analizė ir vertinimas /
… regime is not applied. Calculation of financial leverage effect revealed the fact that when the provisional deferment regime of excise duty payment is being applied or not every litas borrowed brings to the company exclusively only the loss. In case UAB „Grivzas“ does not apply provisional …
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Essays on banking
… operating costs (responsible for an operating leverage effect) seem to influence exposure. An important conclusion is that duration gap analysis is biased and inappropriate to measure exposure, being concluded that net worth immunization requires that assets have different duration than …
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Fractional stochastic volatility models: approximation, calibration and hedging
… and the stock process, which is also termed as leverage effect. This work will be conducted with respect to Skorohod topology and we will not have interpolating term. The result can be generalized to all point process with jumps consisting of bounded random variables.
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Three essays in financial economics
… factor, weakly positive autocorrelation and the leverage effect, generate a small positive alpha in the factor portfolio scaled by its own past returns. The momentum portfolio magnifies this alpha by taking long positions in stocks with highly positive (negative) betas and short positions in …
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What About Short Run?
… economic mechanisms, including a new volatility leverage effect, the persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts of the underlying ``structural'' shocks.</p><p>In Chapter 3 of the dissertation, I develop a new …
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Essays on the Modelling of S&P 500 Volatility
… for skewness, our diagnostics suggest that leverage and jump-diffusion models are more appropriate for capturing the observed biases in the S&P 500 futures options market. Sixteen years of daily S&P 500 futures series are employed to examine the performance of the APARCH models that use …
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Financial contagion in emerging markets evidence from BRICS countries
… (1,1) variants, the study also found evidence of leverage effect in all BRICS stock markets except China. Bivariate GARCH models were used to examine the dynamic cross-correlation between individual BRICS stock markets as target markets and the U.S. and Eurozone as ground zero (source) markets. …
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Market Efficiency and Volatility Spillovers in the Amman Stock Exchange: A Sectoral Analysis
… in share volatility is investigated and the leverage effect is also studied by employing univariate symmetric and asymmetric GARCH models. A large sample of daily sectoral index data is used in the analysis over the 10-year period from 2003 to 2012. The results from estimating various GARCH …
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Statistical co-analysis of high-dimensional association studies
… distribution of case-control and within-case effect sizes. Using an adaptation of a likelihood-ratio test, this allows an assessment to be made of whether disease heterogeneity corresponds to differences in disease pathology. I applied this method to a range of simulated and real datasets, …