Search Results - subject:"GARCH in mean"

Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework

Thiem, Christopher - 2017

-variable VAR, GARCH-in-mean, asymmetric BEKK model. In contrast to previous studies in this area, the analysis focuses on business …, GARCH-in-mean, asymmetrischen BEKK Modells mit vier Variablen. Im Gegensatz zu früheren Studien in diesem Bereich …

Persistent link: https://www.econbiz.de/10011610002

Oil price uncertainty and the business cycle : accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework

Thiem, Christopher - 2017

Persistent link: https://www.econbiz.de/10011608019

The spillovers between the Russian and other Asian and European stock markets a multivariate GARCH-in-mean analysis

Caporale, Guglielmo Maria; Abilov, Nurdaulet - 2017

Persistent link: https://www.econbiz.de/10011893082

Oil price uncertainty and US employment growth

Koirala, Niraj Prasad; Ma, Xiaohan - In: Energy economics 91 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012518646

Money growth variability and output : evidence with credit card-augmented Divisia monetary aggregates

Liu, Jinan; Serletis, Apostolos - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 5, pp. 1-11

Persistent link: https://www.econbiz.de/10012406039

Monetary policy and interest rate spreads

Nsafoah, Dennis; Serletis, Apostolos - In: Open economies review 31 (2020) 3, pp. 707-727

Persistent link: https://www.econbiz.de/10012302120

Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies

Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18

: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …

Persistent link: https://www.econbiz.de/10011988707

Volatility modeling and asset pricing: Extension of GARCH model with macro economic variables, value-at- risk and semi-variance for KSE

Hamid, Kashif; Hasan, Arshad - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 10 (2016) 3, pp. 569-587

GARCH- in- mean model is used for modeling the volatility in this study. GARCH-in-mean model is extended with macroeconomic …

Persistent link: https://www.econbiz.de/10011938526

Equity fund flows and stock market returns in the US before and after the global financial crisis: A VAR-GARCH-in-mean analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482258

Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008—2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011522432