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Impact of Monetary Policy on the Volatility of Stock Market in Pakistan
Qayyum, Abdul; Anwar, Saba - Volkswirtschaftliche Fakultät, … - 2011
technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any …
Persistent link: https://www.econbiz.de/10009644158
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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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Volatility Spillover Between the Stock Market and the Foreign Exchange Market in Pakistan
Qayyum, Abdul; Kemal, A. R. - Volkswirtschaftliche Fakultät, … - 2006
EGARCH method. The estimated results from cointegration analysis show that there is no long run relationship between the two …
Persistent link: https://www.econbiz.de/10005626858
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Measuring Financial Risk using Extreme Value Theory: evidence from Pakistan
Qayyum, Abdul; Nawaz, Faisal - Volkswirtschaftliche Fakultät, … - 2010
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures.
Persistent link: https://www.econbiz.de/10008866149