Forecasting the Jordanian stock index : modelling asymmetric volatility and distribution effects within a GARCH framework
Year of publication: |
2015
|
---|---|
Authors: | Al-Hajieh, Heitham ; Al-Nemer, Hashem Abdullah ; Rodgers, Timothy ; Niklewski, Jacek |
Published in: |
Copernican Journal of Finance & Accounting : CJF&A. - Toruń : [Verlag nicht ermittelbar], ISSN 2300-3065, ZDB-ID 2753136-3. - Vol. 4.2015, 2, p. 9-25
|
Subject: | GARCH | asymmetry | distributions | ARCH-Modell | ARCH model | Volatilität | Volatility | Aktienindex | Stock index | Jordanien | Jordan | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income |
-
Investing in VIX futures based on rolling GARCH models forecasts
Bilyk, Oleh, (2020)
-
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl, (2016)
-
Zeitlberger, Alexander C. M., (2016)
- More ...
-
Tse, Chin-Bun, (2014)
-
Tony-Okeke, Uchenna, (2018)
-
Tse, Chin Bun, (2014)
- More ...