Search Results - subject:"GARJI model"

Time-changed GARCH versus GARJI model for extreme events : an empirical study

Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015046799

Jump dynamics in the relationship between oil prices and the stock market: Evidence from Nigeria

Fowowe, Babajide - In: Energy 56 (2013) C, pp. 31-38

This study investigates the relationship between oil prices and returns on the Nigerian Stock Exchange. By using GARCH-jump models, we are able to model the volatility of stock returns and also take account of the effect of extreme news events on returns. The empirical results show a negative...

Persistent link: https://www.econbiz.de/10010808120

Time-changed GARCH versus the GARJI model for prediction of extreme news events: An empirical study

Kao, Lie-Jane; Wu, Po-Cheng; Lee, Cheng-Few - In: International Review of Economics & Finance 21 (2012) 1, pp. 115-129

intensity (GARJI) model, in which two conditional independent processes, i.e., a diffusion and a compounded Poisson process, are … GARJI model using daily stock prices of five financial companies contained in the S&P 500, namely, Bank of America, Wells … benchmark GARJI model. …

Persistent link: https://www.econbiz.de/10010688133

Time-changed GARCH versus the GARJI model for prediction of extreme news events : an empirical study

Kao, Lie Jane; Wu, Po-cheng; Lee, Cheng F. - In: International review of economics & finance : IREF 21 (2012) 1, pp. 115-129

Persistent link: https://www.econbiz.de/10009428082