This article analyses the volatility forecasting performance of the GARCH models based on various distributional assumptions in the context of stock market indices and exchange rate returns. Using rollover methods to construct the out-of-the-sample volatility forecasts, this study shows that the...

In this article we explore how autocorrelation impacts volatility in stock markets. We use the Threshold Autoregressive-Generalized Autoregressive Conditional Heteroscedasticity (TAR-GARCH) model to obtain a better approximation of the volatility pattern with the threshold of a positive or...

This article undertakes eight hedging models (Regression, MD-GARCH, BEKK-GARCH, CCC-GARCH, ECM-MD, ECM-BEKK, ECM-CCC, and state space models) to investigate hedging effectiveness of different price scenarios in energy futures markets. Different models have systematically evidenced that hedging...

This paper reports the announcement effects of insider transfer trades and relates these with firms' characteristics. Regulations in Taiwan specify that insiders give three days prior notice to the competent authority of stock transfers and this news can stimulate market participants' investment...

This paper examines the positive connection between the 52-week high of a stock price and its return. In addition, other reference points including 5-day high, 20-day high, and 60-day high are considered under different stock market index levels. Using firm characteristics as proxies of...