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European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel
Francesco, Guidi - Volkswirtschaftliche Fakultät, … - 2008
EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …
Persistent link: https://www.econbiz.de/10005789602
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Modelling and forecasting the volatility of the portuguese stock index PSI-20
Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2004
Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …
Persistent link: https://www.econbiz.de/10005790340