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Author: Seema Rehman
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study decomposes realized moments into high and low components and examines if the high minus low realized moment factors are helpful in explaining future stock returns. Tick by tick data is used to generate five minute returns for computing daily estimates of realized moments. Daily measures of realized moments are averaged for each firm to obtain weekly values resulting in 157,000 firm week observations. Realized moments' factors are incorporated as extensions to basic asset pricing models. Evidence from this paper suggests the role of realized moments in enhancing the step wise model development. To the best of authors' knowledge, this is the first study to analyze the role of realized moments in explaining stock returns, using high frequency data in the emerging stock market of Pakistan. This study may help investors and fund managers to employ best strategies to gain maximum return on their investment.
Author: Seema Rehman
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study decomposes realized moments into high and low components and examines if the high minus low realized moment factors are helpful in explaining future stock returns. Tick by tick data is used to generate five minute returns for computing daily estimates of realized moments. Daily measures of realized moments are averaged for each firm to obtain weekly values resulting in 157,000 firm week observations. Realized moments' factors are incorporated as extensions to basic asset pricing models. Evidence from this paper suggests the role of realized moments in enhancing the step wise model development. To the best of authors' knowledge, this is the first study to analyze the role of realized moments in explaining stock returns, using high frequency data in the emerging stock market of Pakistan. This study may help investors and fund managers to employ best strategies to gain maximum return on their investment.
Author: Barbora Malinska
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines both intertemporal and contemporaneous relationship between excess US Treasury futures returns and realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized kurtosis remain insignificant. Moreover, in addition to strong explanatory power of realized skewness for contemporaneous excess returns, we find evidence of intra-temporal returnvolatility trade-off dependent on skewness regime (i.e. positive or negative skewness).
Author: Denys Leighton
Publisher: Imprint Academic
ISBN: 9780907845546
Category : Biography & Autobiography
Languages : en
Pages : 402
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Book Description
This study of T.H. Green views his philosophical opus through his public life and political commitments, and it uses biography as a lens through which to examine Victorian political culture and its moral climate. The book deals with the political and religious history of Victorian Britain in examining the basis of Green's Liberal partisanship. It demonstrates how his main ethical and political conceptions--his idea of "self-realisation" and his theory of individuality within community--were informed by evangelical theology, popular Protestantism and an idea of the English national consciousness as formed by religious conflict. While the significance of Kantian and Hegelian elements in Green's thought is acknowledged, it is argued that "indigenous" qualities of Green's teachings resonated with values shared alike by elite and rank-and-file Liberals during the mid and late Victorian era. In examining Green's beliefs about the historical evolution of English liberty, his championing of (Liberal) Nonconformity and Nonconformist causes and his approval of religious bases of community, this study analyzes the ripening of a Greenian moment and traces Green's influence on Liberal, quasi-socialist and Conservative social reform down to the 1920s. The lasting impact of Green's teachings on British and Western political philosophy, apparent in the current vogue for communitarianism in liberal theory, indicates limitations of the "secularization thesis" still tacitly accepted by historians of Western political thought.
Author: Denys P. Leighton
Publisher: Andrews UK Limited
ISBN: 1845408756
Category : Political Science
Languages : en
Pages : 375
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Book Description
This study of T.H. Green views his philosophical opus through his public life and political commitments, and it uses biography as a lens through which to examine Victorian political culture and its moral climate. The book deals with the political and religious history of Victorian Britain in examining the basis of Green's Liberal partisanship. It demonstrates how his main ethical and political conceptions—his idea of "self-realisation" and his theory of individuality within community—were informed by evangelical theology, popular Protestantism and an idea of the English national consciousness as formed by religious conflict. While the significance of Kantian and Hegelian elements in Green's thought is acknowledged, it is argued that “indigenous” qualities of Green's teachings resonated with values shared alike by elite and rank-and-file Liberals during the mid and late Victorian era. In examining Green’s beliefs about the historical evolution of English liberty, his championing of (Liberal) Nonconformity and Nonconformist causes and his approval of religious bases of community, this study analyzes the ripening of a Greenian moment and traces Green’s influence on Liberal, quasi-socialist and Conservative social reform down to the 1920s. The lasting impact of Green’s teachings on British and Western political philosophy, apparent in the current vogue for communitarianism in liberal theory, indicates limitations of the “secularization thesis” still tacitly accepted by historians of Western political thought.
Author: Siu Hang Chan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper tests the explanatory and predictive power of realized volatility, skewness and kurtosis on the currencies' excess return. I use intraday data to calculate the realized high-order moments, and test if they are significant in explaining the excess return of current month, and if they help predicting the excess return of the next month. Using the Fama-MacBeth approach, I find that the market price of risk of realized kurtosis innovation is significantly negatively in cross sectional of excess return of both current and net period; and the results are robust across difference return frequency, and different model specification and are not explained by other factors. I also find a negative empirical relationship between realized kurtosis innovation and the currency excess return in the next month, and the trading strategies constructed accordingly has significant positive profit after considering bid-ask spread. These findings show that higher-order moments are significant state variable in asset pricing, forecasting, and also are useful information for constructing a profitable trading strategy.
Author: Henry Yu
Publisher: Oxford University Press
ISBN: 0198027613
Category : History
Languages : en
Pages : 279
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Book Description
Thinking Orientals is a groundbreaking study of Asian Americans and the racial formation of twentieth-century American society. It reveals the influential role Asian Americans played in constructing the understandings of Asian American identity. It examines the unique role played by sociologists, particularly sociologists at the University of Chicago, in the study of the "Oriental Problem" before World War II and also analyzes the internment of Japanese Americans during the war and the subsequent "model minority" profile.
Author: Piet van Boxel
Publisher: Oxford University Press
ISBN: 0192654314
Category : History
Languages : en
Pages : 240
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Book Description
This collection of essays treats a topic that has scarcely been approached in the literature on Hebrew and Hebraism in the early modern period. In the seventeenth century, Christians, especially Protestants, studied the Mishnah alongside a host of Jewish commentaries in order to reconstruct Jewish culture, history, and ritual, shedding new light on the world of the Old and New Testaments. Their work was also inextricably dependent upon the vigorous Mishnaic studies of early modern Jewish communities. Both traditions, in a sense, culminated in the monumental production in six volumes of an edition and Latin translation of the Mishnah published by Guilielmus Surenhusius in Amsterdam between 1698 and 1703. Surenhusius gathered up more than a century's worth of Mishnaic studies by scholars from England, Germany, the Netherlands, and Sweden, as well as the commentaries of Maimonides and Obadiah of Bertinoro (c. 1455-c.1515), but this edition was also born out of the unique milieu of Amsterdam at the end of the seventeenth century, a place which offered possibilities for cross-cultural interactions between Jews and Christians. With Surenhusius's great volumes as an end point, the essays presented here discuss for the first time the multiple ways in which the canonical text of Jewish law, the Mishnah (c.200 CE), was studied by a variety of scholars, both Jewish and Christian, in early modern Europe. They tell the story of how the Mishnah generated an encounter between different cultures, faiths, and confessions that would prove to be enduringly influential for centuries to come.
Author: Steven A. Weinberg
Publisher:
ISBN:
Category : Foreign exchange futures
Languages : en
Pages : 52
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Book Description
Author: Robert Fullér
Publisher: Springer
ISBN: 3030125440
Category : Computers
Languages : en
Pages : 273
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Book Description
This book constitutes the post-conference proceedings of the 12th International Workshop on Fuzzy Logic and Applications, WILF 2018, held in Genoa, Italy, in September 2018. The 17 revised full papers and 9 short papers were carefully reviewed and selected from 26 submissions. The papers are organized in topical sections on fuzzy logic theory, recent applications of fuzzy logic, and fuzzy decision making. Also included are papers from the round table "Zadeh and the future of logic" and a tutorial.
Author: Geshe Tenzin Namdak
Publisher: Simon and Schuster
ISBN: 1614296995
Category : Philosophy
Languages : en
Pages : 371
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Book Description
"In the seven chapters constituting Khedrup Jé's presentation of mind and awareness, he primarily explains the full range of objects, including all phenomena that can be known, and object possessors, things that engage objects, such as consciousness and persons. In the first chapter, Khedrup Jé starts by explaining objects of knowledge. Chapter 2 gives an explanation of various non-valid awarenesses. Chapter 3 explains what it means to be a valid cognizer and divides valid cognizers into various categories. In chapter 4, the first division, valid direct perceivers, is discussed. Chapter 4 further defines the four main categories of direct perceivers: sense direct perceivers, mental direct perceivers, self-knowing direct perceivers, and yogic direct perceivers. In chapter 5, Khedrup Jé gives a brilliant elucidation of this essential teachings of the Buddha. The realizations of the path, explained in chapter 6, are results of valid cognizers. Direct realization of selflessness can only come about by having realized it in a conceptual manner-that is, by generating a valid inference realizing selflessness-first. How to generate this kind of inference is precisely explained in chapter 7. In order to give readers some sense of the two main authors involved here, Khedrup Jé Gelek Palsang and Purbu Chok Jampa Gyatso, whom we mainly rely on for additional explanations, brief biographies of these two eminent Buddhist scholars are given at the close of this introduction"--
