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Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models

100%
Triacca U.
Central European Journal of Economic Modelling and Econometrics
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2009
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issue 3
2
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Leaving and Returning “Home”: The Elusive Quest for Belonging and Adulthood among African Adolescents on the Move

100%
Digidiki V., Bhabha J.
Kultura i Edukacja
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2019
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issue 2(124)
143-156
EN
Draconian contemporary border exclusion policies have had a devastating impact on migrants worldwide, eliciting vigorous expressions of public outrage around the world. Yet, despite growing evidence of human rights abuses as a result of these policies, States and policy makers continue to recommend more restrictive frameworks, doubling down on exclusion. Promoting a renewed “return package”, they encourage buffer and transit states to undertake “swiftreturns” of unauthorized entrants, promoting voluntary return as the preferred solution to the unwanted presence of migrants. This article discusses the consequences and implications of these policies for children. In particular, it probes the reality of distress migration for African adolescents trapped in Libya.
3
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The influence of variations in liquidity on expected stock returns

100%
Szutenberg A.
Zeszyty Studenckie Wydziału Ekonomicznego „Nasze Studia”
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2011
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issue 5
157-163
EN
The paper has reflected upon the literature that studies the relationships between time variations in liquidity, innovations in aggregate liquidity and how they affect the present and expected returns. There are presented different measures of liquidity, illiquidity as well as liquidity risk. The liquidity measures were implemented into asset pricing model. The correlation found between liquidity risk and stock markets returns was greater than the one between liquidity risk and factors typically used in asset pricing studies. To summarize, liquidity risk is an important determinant of expected asset returns.
PL
Opracowanie przedstawia, istniejące w literaturze światowej, rozmaite podejścia do zmienności płynności aktywów w czasie, jak też innowacje w pojęciu płynności zagregowanej oraz ich wpływ na rzeczywiste i oczekiwane wyniki z inwestycji. Przedstawione zostały różne miary płynności, a także ryzyka płynności. W opisywanej literaturze, miary płynności zostały wprowadzone przez autorów do modelu wyceny aktywów. Udowodniono, że korelacja między ryzykiem płynności i wynikami inwestycyjnymi jest wyższa niż w przypadku korelacji wyników z inwestycji z innymi czynnikami, często branymi pod uwagę w procesie wyceny wartości inwestycji. Ryzyko płynności jest więc istotną determinantą oczekiwanych wyników inwestycyjnych.
4
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The Model of Reverse Logistics, Based on Reliability Theory, with Elements' Rejuvenation

86%
Jodejko-Pietruczuk A., Plewa M.
Logistics and Transport
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2012
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vol. 15
27-35
EN
Reverse logistics understood as the process of managing reverse flow of materials, in-process inventory, finished goods and related information has become one of the logisticians’ key areas of interest. Nowadays a growing number of companies realize the meaning of that field of logistics. Reuse of products can bring direct advantages because company uses recovered components instead of expensive new ones. On the base of literature overview the aims of the paper were established. It proposes the model that uses the reliability theory to optimize recovery policy parameters. The criterion of the policy parameters optimization is the total cost of the production, recovery and services during warranty period. Presented model is a development of existing approaches because it widely analyses the aspect of returns condition in the recovery policy optimization.
5
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Contagion effects on capital and forex markets around GFC and COVID-19 crises. A comparative study

86%
BRANIA K., GURGUL H.
Operations Research and Decisions
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2021
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vol. 31
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issue 2
59-92
EN
The spread of crises across the financial and capital markets of different countries has been studied. The standard method of contagion detection is based on the evolution of the correlation matrix for the example of exchange rates or returns, usually after removing univariate dynamics with the GARCH model. It is a common observation that crises that have occurred in one financial market are usually transmitted to other financial markets/countries simultaneously and that they are visible in different financial variables such as returns and volatility which determine probability distribution. The changes in distributions can be detected through changes in the descriptive statistics of, e.g., returns characterised by expected value, variance, skewness, kurtosis, and other statistics. They determine the shape of the distribution function of returns. These descriptive statistics display dynamics over time. Moreover, they can interreact within the given financial or capital market and among markets. We use the FX currency cluster represented by some of the major currencies and currencies of the Višegrad group. In analysing capital markets in terms of equity indexes, we chose developed markets, such as DAX 30, AEX 25, CAC 40, EURSTOXX 50, FTSE 100, ASX 200, SPX 500, NASDAQ 100, and RUSSEL 2000. We aim to check the changes in descriptive statistics, matrices of correlation concerning exchange rates, returns and volatility based on the data listed above, surrounding two crises: the global financial crisis (GFC) in 2007–2009 and Covid 2019.
6
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Stopy zwrotu a wielkość obrotów na GPW w Warszawie

72%
Gurgul H., Wójtowicz T.
Folia Oeconomica Cracoviensia
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2008-2009
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vol. 49-50
31-45
EN
In the paper the results of empirical investigations of dynamic relationships between extreme trading volume and subsequent stock returns on Warsaw Stock Exchange are presented. The event study methodology is applied. The dynamic relationship between the financial variables is rather weak and depends on kind and size of the stock exchange. The high-volume-return-premium is more pronounced for small size stocks with lower liquidity levels.
7

Z SAMBORA „DO RZECZYPOSPOLITEJ”. AKCJA PRZESIEDLEŃCZA 1944–1946 W DOKUMENTACH I PAMIĘCI SAMBORZAN

58%
Nizińska E.
Rocznik Przemyski
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2018
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vol. 54
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issue 1(21): Historia
203-227
EN
The paper focuses on resettling people from the Eastern Borderlands to the Recovered Territories in the years 1944-1946 presenting the case of Polish people from Sambir. It considers the public feeling at the end of the war, the motivation to leave as part of the “repatriation” campaign, the preparation and process of the resettlement action and the first moments in the new place. The author discusses the process of adaptation to the new environment, attempting to assume the vantage point of the members of community, using not only documents from the local repatriation office, but also Sambir people’s memories. What concludes the text is an attempt to answer the question what place the resettlement action occupies in their collective memory.
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Residential Real Estate in Europe: An Exploration of Common Risk Factors

58%
Druica E., Valsan C., Ianole R.
Review of Economic Perspectives
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2015
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vol. 15
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issue 4
413-429
EN
We conduct an exploratory analysis using proxy measures of cross-sectional returns and rental yields in residential real estate. Asset pricing models predict that expected returns should exhibit some sensitivity to one or several fundamental variables that represent a common source of undiversifiable risk. Residential real estate, just like works of art and collectibles, is unique because it represents both an investment vehicle and a durable consumption good. Its pricing and returns should thus reflect both the benefits from portfolio diversification and the effect of supply and demand. In this paper, we investigate the variation in proxy returns and proxy rental yields across 34 major European cities, using a handful of independent variables that should account for the influence of market risk, inflation, and liquidity. In spite of obvious limitations stemming from our sample, we find that the explanatory power of our model is unusually high for a cross-sectional data analysis. Some of our findings concur with other studies showing that in spite of strong segmentation, real estate markets respond to the same structural risk factors. A good portion of our results, however, is hard to explain and interpret. Either we need to take into account cultural differences between Eastern and Western Europe as part of a behavioral approach, or we have to concede that we have been misled by the mismatch in the level of aggregation and the crude estimation of the dependent variables.
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