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Volatility Persistence in Crude Oil Markets
Charles, Amélie; Darné, Olivier - HAL - 2012
Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets - Brent, West Texas Intermediate (WTI) and...
Persistent link: https://www.econbiz.de/10010558719
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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
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Dynamic volatility behaviour of stock markets in southern Africa
Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10012019002
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Reassessment of volatility transmission among South Asian equity markets
Aziz, Tariq; Marwat, Jahanzeb; Mustafa, Sheraz; Kumar, … - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 1, pp. 587-597
Persistent link: https://www.econbiz.de/10012692390
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Evaluating volatility persistence of stock return in the pre and cost 2008-2009 financial meltdown
Nageri, Kamaldeen Ibraheem - In: Copernican Journal of Finance & Accounting : CJF&A 8 (2019) 3, pp. 75-94
Persistent link: https://www.econbiz.de/10012211589
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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/10011597965
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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …
Persistent link: https://www.econbiz.de/10011115493
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E-exchange and the Boundary between Households and Organizations
Lindbeck, Assar; Wikström, Solveig - 2002
The new information and communication technology, ICT, induces households to take over tasks from firms and government agencies, using tools and systems provided by these very same organizations. The result is often joint production activities. We argue that the importance of ICT for the...
Persistent link: https://www.econbiz.de/10010315719
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E-exchange and the Boundary between Households and Organizations
Lindbeck, Assar; Wikström, Solveig - CESifo - 2002
The new information and communication technology, ICT, induces households to take over tasks from firms and government agencies, using tools and systems provided by these very same organizations. The result is often joint production activities. We argue that the importance of ICT for the...
Persistent link: https://www.econbiz.de/10005181571
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E-exchange and the boundary between households and organizations
Lindbeck, Assar; Wikström, Solveig - 2002
The new information and communication technology, ICT, induces households to take over tasks from firms and government agencies, using tools and systems provided by these very same organizations. The result is often joint production activities. We argue that the importance of ICT for the...
Persistent link: https://www.econbiz.de/10011514007