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Displaying results 1 to 12 of 12.

  1. Tourism stocks in times of crises
    an econometric investigation of non-macro factors
    Author: Zopiatis, Anastasios; Savva, Christos S.; Lambertides, Neophytos; McAleer, Michael
    Published: November 2016
    Publisher:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 57 (2016,42)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/99512
    Series: [Econometric Institute research papers] ; EI2016, 42
    Subjects: Terrorismus; Krieg; Politischer Konflikt; Wirkungsanalyse; Aktienindex; Kapitalmarktrendite; Volatilität; Tourismuswirtschaft; Gastgewerbe; Welt
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  2. An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series
    Author: Allen, David E.; McAleer, Michael; Singh, Abhay Kumar
    Published: [2016]
    Publisher:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 57 (2016,21)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/80108
    Series: [Econometric Institute research papers] ; EI2016-21
    Subjects: Aktienindex; Mediale Berichterstattung; Entropie; Zeitreihenanalyse
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  3. Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
    Author: Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael
    Published: February 2016
    Publisher:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 57 (2016,2)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/79731
    Series: [Econometric Institute research papers] ; EI2016-02
    Subjects: Energiehandel; Erdöl; Erdgas; Alkohol; Aktienindex; Handelsvolumen der Börse; Kapitalmarktrendite; Volatilität; Spillover-Effekt
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  4. Are the S&P 500 index and crude oil, natural gas and Ethanol futures related for intra-day data?
    Author: Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael
    Published: 2016-02-01
    Publisher:  Tinbergen Institute, Rotterdam

    The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2016,6)
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    The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives prices and returns have also been investigated extensively in recent years. Much of the empirical analysis has concentrated on using daily, weekly or monthly data, with little research based on intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of three leading energy commodities, namely crude oil, natural gas and ethanol, using intra-day data. The detailed analysis of intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four financial markets, leads to interesting and useful results for decision making and hedging strategies. The empirical results relating to alternative models of mean and variance feedback and asymmetry for intra-daily returns, asymmetry and volatility spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and alternative energy financial derivatives, specifically futures prices and returns, can and do vary according to the trading range, whether daily or overnight effects are considered, and the temporal aggregation and time frequencies that are used.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/130491
    Edition: Revised: February 2016
    Series: Array ; TI 2016-006
    Subjects: Energiehandel; Erdöl; Erdgas; Alkohol; Aktienindex; Handelsvolumen der Börse; Kapitalmarktrendite; Volatilität; Spillover-Effekt
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  5. An entropy based analysis of the relationship between the DOW JONES Index and the TRNA sentiment series
    Author: Allen, David E.; McAleer, Michael; Singh, Abhay K
    Published: 2016
    Publisher:  Tinbergen Institute, Amsterdam

    This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities Industry... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2016,26)
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    This paper features an analysis of the relationship between the DOW JONES Industrial Average Index (DJIA) and a sentiment news series using daily data obtained from the Thomson Reuters News Analytics (TRNA)1 provided by SIRCA (The Securities Industry Research Centre of the Asia Pacic). The recent growth in the availability of on-line financial news sources such as internet news and social media sources provides instantaneous access to financial news. Various commercial agencies have started developing their own filtered financial news feeds which are used by investors and traders to support their algorithmic trading strategies. Thomson Reuters News Analytics (TRNA)2 is one such data set. In this study we use the TRNA data set to construct a series of daily sentiment scores for Dow Jones Industrial Average (DJIA) stock index component companies. We use three daily DJIA market sentiment scores to study the relationship between financial news sentiment scores and the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the relationship changes over time.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/145333
    Series: Array ; TI 2016-026
    Subjects: Aktienindex; Mediale Berichterstattung; Entropie; Zeitreihenanalyse
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  6. How are VIX and stock index ETF related?
    Author: Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael
    Published: February 2016
    Publisher:  [Econometric Institute, Erasmus School of Economics], [Rotterdam]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 57 (2016,7)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1765/79913
    Series: [Econometric Institute research papers] ; EI2016-07
    Subjects: Aktienindex; Indexderivat; Volatilität; VAR-Modell; Heteroskedastizität; Europa; USA
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  7. The impact of a central bank's verbal interventions on stock exchange indices in a resource based economy: the evidence from Russia
    Author: Kuznetsova, Olga S.; Ulyanova, Sofiya R.
    Published: 2016
    Publisher:  National Research University, Higher School of Economic, [Moscow]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 155/EC/2016
    Subjects: Mediale Berichterstattung; Zentralbank; Ankündigungseffekt; Aktienindex; ARCH-Modell; ARMA-Modell; Russland
    Scope: 1 Online-Ressource (circa 14 Seiten), Illustrationen
  8. The dynamics for value comovement across global equity markets
    Author: Gupta, Mayank; Novotný, Jan
    Published: March 2016
    Publisher:  Center for Economic Research and Graduate Education, Prague

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 695 (560)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9788073433673; 9788073443733
    Series: Working paper series / CERGE-EI ; 560
    Subjects: Aktienindex; Kapitalmarktrendite; ARCH-Modell; Welt
    Scope: 31 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  9. Regresión cuantílica dinámica para la medición del valor en Riesgo
    una aplicación a datos colombianos
    Author: Mariño Ustacara, Daniel; Melo-Velandia, Luis Fernando
    Published: [2016]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
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    Source: Union catalogues
    Language: Spanish
    Media type: Book
    Format: Online
    Series: Borradores de economía ; núm. 939 (2016)
    Subjects: Risikomaß; Aktienindex; Vergleich; ARCH-Modell; Theorie; Kolumbien; CAViaR (Conditional Autoregressive Value at Risk by Regression Quantiles)
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  10. Optimale passive Portfolios
    Author: Schmidl, Norman
    Published: 2016

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    C 278150
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    Source: Union catalogues
    Language: German
    Media type: Dissertation
    Format: Print
    Subjects: Portfolio-Management; Indexderivat; Theorie; Kapitalanlage; Aktienindex; Deutschland; Japan; USA
    Scope: 257, XXII Seiten, Illustrationen
    Notes:

    Dissertation, Technische Universität Chemnitz, 2016
  11. Tourism stocks in times of crises
    an econometric investigation of non-macro factors
    Author: Zopiatis, Anastasios; Savva, Christos S.; Lambertides, Neophytos; McAleer, Michael
    Published: 2016
    Publisher:  Tinbergen Institute, Amsterdam

    Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 432 (2016,104)
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    Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical Islamic ideologies, which have caused chaos in the Middle East and Europe. The relationship and vulnerability of the industry to non-macro incidents have been well documented in the literature, mostly in theoretical terms. Nevertheless, the quantifiable impact of such events on tourism-specific stock values, both in terms of returns and volatility, received much less attention. With the use of an econometric methodology, the paper aims to enhance our conceptual capital pertaining to the effects of such possibilities on five hospitality and tourism stock indices. The empirical findings are of interest to stakeholders at all echelons of the spectra of the tourism and financial industries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/149508
    Series: Array ; TI 2016,104
    Subjects: Terrorismus; Krieg; Politischer Konflikt; Wirkungsanalyse; Aktienindex; Kapitalmarktrendite; Volatilität; Tourismuswirtschaft; Gastgewerbe; Welt
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  12. A coupled component GARCH model for intraday and overnight volatility
    Author: Linton, Oliver; Wu, Jianbin
    Published: [2016]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 123 (2016,71)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 1810/262562
    Series: Cambridge-INET working paper series ; no: 2016, 26
    Cambridge working papers in economics ; 1671
    Subjects: ARCH-Modell; Nichtparametrisches Verfahren; Interbankenmarkt; Kapitalmarktrendite; Volatilität; Aktienindex
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen