Narrow search
Showing 1 - 10 of 1,566
Cover Image
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian; Sucarrat, Genaro - In: Journal of financial econometrics : official journal of … 16 (2018) 1, pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Cover Image
A simple model for now-casting volatility series
Breitung, Jörg; Hafner, Christian M. - In: International journal of forecasting 32 (2016) 4, pp. 1247-1255
Persistent link: https://www.econbiz.de/10011622143
Cover Image
An empirical study on tactical asset allocation and forecasting
Rastogi, Vivek Raj; Vishvakarma, Niraj Kumar; Dhar, Joydip - In: International Journal of Economics and Business Research 4 (2012) 4, pp. 393-411
autoregressive conditional heteroskedasticity-autoregressive moving average (EGARCH-ARMA) for the defined asset classes. Daily spot … that the EGARCH-ARMA model is superior to the ARMA model in forecasting market returns. Several diagnostic tests were … research, we also compared the forecasting performance of autoregressive moving average (ARMA) and exponential generalised …
Persistent link: https://www.econbiz.de/10010669615
Cover Image
Expected stock market returns and volatility : three decades later
Kassa, Haimanot; Wang, Feifei; Yan, Xuemin Sterling - In: Critical finance review 12 (2023) 1/4, pp. 271-307
Persistent link: https://www.econbiz.de/10014370376
Cover Image
The impact of volatility shifts on market efficiency: the case of four emerging Southeast Asian stock markets
Tan, Hui-Boon; Wong, Mei-Foong; Elshareif, Elgilani Eltahir - In: Global Business and Economics Review 17 (2015) 2, pp. 203-216
the iterated-cumulative-sum-of-squares-in-volatility (ICSS-EGARCH-M) model, a new approach in market efficiency studies …
Persistent link: https://www.econbiz.de/10011266448
Cover Image
Financial development and economic growth in the MENA Region
Hamadi, Hassan; Bassil, Charbel - In: Comparative economic studies 57 (2015) 4, pp. 598-622
Persistent link: https://www.econbiz.de/10011545909
Cover Image
Oil price and stock market index in exporting and importing countries: evidence from MENA
Salameh, Hussein Mohammad; Al-Zu'bi, Bashar; Al-Zubi, … - In: American Journal of Finance and Accounting 2 (2012) 4, pp. 363-379
In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in both exporting and importing countries. Previous studies have focused almost exclusively on oil exporting countries; in this paper we encounter this issue through implementing...
Persistent link: https://www.econbiz.de/10010669420
Cover Image
The influence of culture and religion on trust in the emerging financial market in Libya
Abdussalam, Zainab - In: International Journal of Behavioural Accounting and Finance 4 (2014) 3, pp. 206-220
This study sets out to explore relations between culture, religion, trust and their impact on the emerging financial market in Libya. This research was conducted using qualitative method to obtain the data. The findings of this study are that the isomorphism of Western institutions to the...
Persistent link: https://www.econbiz.de/10010795446
Cover Image
An assessment of volatility and leverage effect before and during the period of Covid-19 : a study of selected international stock markets
Bhunia, Amalendu; Ganguly, Soumya - In: International journal of financial services management … 10 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012510344
Cover Image
Time-varying beta risk, volatility persistence and the asymmetric impact of news: evidence from industry portfolios
Koutmos, Dimitrios - In: Global Business and Economics Review 13 (2011) 1, pp. 42-56
ARCH (EGARCH) for this purpose, it further examines the degree to which innovations exert an asymmetric impact on the …
Persistent link: https://www.econbiz.de/10009352592