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Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
RIANE, Nizare - Volkswirtschaftliche Fakultät, … - 2014
The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...
Persistent link: https://www.econbiz.de/10011156979
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The North American natural gas liquids markets are chaotic
Serletis, Apostolos; Gogas, Periklis - Volkswirtschaftliche Fakultät, … - 1999
In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and...
Persistent link: https://www.econbiz.de/10005789499
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Effects of Volatility of Exports in the Philippines and Thailand
Sinha, Dipendra - Volkswirtschaftliche Fakultät, … - 2007
, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …
Persistent link: https://www.econbiz.de/10005835772
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The Day �of� The� Week Effect in the Colombia Stock Exchange
Gallego, Oscar D - Volkswirtschaftliche Fakultät, … - 2005
, but the data generating process is shown to be non-linear. A non-linear GARCH model is then applied, achieving a good …
Persistent link: https://www.econbiz.de/10011259010
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Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2009
-strong ARCH(1) model, do not extend to the semi-strong GARCH(1,1) case because of underidentification. Augmenting the instrument …
Persistent link: https://www.econbiz.de/10009147566
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International stock market comovements: what happened during the financial crisis?
Horvath, Roman; Poldauf, Petr - Volkswirtschaftliche Fakultät, … - 2011
, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our …
Persistent link: https://www.econbiz.de/10009370830
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Un modelo GARCH con asimetría condicional autorregresiva para modelar series de tiempo: Una aplicación para el Indice de Precios y Cotizaciones
Durán-Vázquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2012
We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in …
Persistent link: https://www.econbiz.de/10011107249
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Behavior of Stock Market Index in the Stock Exchange of Thailand
Jiranyakul, Komain - Volkswirtschaftliche Fakultät, … - 2007
In this paper, the variance-ratio test and the ARMA-GARCH (1,1) are used to test whether the Stock Exchange of Thailand … that the market index follows a random walk process, and this is confirmed by unit root tests. The GARCH process shows that … the volatility of stock market return generated by the GARCH variance series exhibits an uneven pattern. The unpredictable …
Persistent link: https://www.econbiz.de/10011107495
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Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market
Zhu, Junjun; Xie, Shiyu - Volkswirtschaftliche Fakultät, … - 2010
We construct one triple-threshold GARCH model to analyze the asymmetric response of mean and conditional volatility. In …
Persistent link: https://www.econbiz.de/10011107623
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International portfolio allocation with European fixed-income funds: What scope for Italian funds?
Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2014
fractionally-integrated GARCH for the conditional variance. The interaction between the funds is modelled as the Dynamic …
Persistent link: https://www.econbiz.de/10011107858