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Do Macroeconomic Announcements Cause Asymmetric Volatility
de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003
Persistent link: https://www.econbiz.de/10011091651
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Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets
Tampakoudis, Ioannis A.; Subeniotis, Demetres N.; … - In: International Journal of Trade and Global Markets 5 (2012) 3/4, pp. 171-194
The overarching aim of the present paper is to investigate the pattern of returns and volatility in the US and the UK …
Persistent link: https://www.econbiz.de/10010670368
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Volatility and cross correlation across asset markets: Evidence from the French and US markets over the 1997-2000 period
Laborde, David; Rey, Serge - Volkswirtschaftliche Fakultät, … - 2001
(with causal feedback), and that they affect the exchange rate volatility. Finally, with weekly data we highlight that the … euro/dollar volatility "Granger-cause" the rate of return on stocks. …
Persistent link: https://www.econbiz.de/10009643213
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The new science of technical analysis
DeMark, Thomas R. <Senior> - 1994
Persistent link: https://www.econbiz.de/10004568545
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Does Black’s Hypothesis for Output Variability Hold for Mexico?
Macri, Joseph; Sinha, Dipendra - Volkswirtschaftliche Fakultät, … - 2007
Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus,...
Persistent link: https://www.econbiz.de/10005835862
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THE DAY-OF-THE-WEEK EFFECT ON BUCHAREST STOCK EXCHANGE
PANAIT, Iulian; UZLAU, Carmen Marilena; ENE, Corina Maria - In: Internal Auditing and Risk Management 1 (2013) 29, pp. 24-37
This study investigates the presence on Bucharest Stock Exchange of one of the most documented seasonal anomalies of financial assets’ returns: the day-of-the-week effect. We use daily returns for five Romanian official exchange indices and for one MSCI Barra country index during May...
Persistent link: https://www.econbiz.de/10010700208
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The month-of-the-year effect on Bucharest Stock Exchange
Panait, Iulian - In: Hyperion Economic Journal 1 (2013) 1, pp. 19-26
This study investigates the presence of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly returns for five Romanian official exchange indices and...
Persistent link: https://www.econbiz.de/10010855990
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MODELING THE VOLATILITY OF THE BET-FI INDEX
GHERGUT, Dan Ion; OANCEA, Bogdan; CAPATINA, Claudia - In: Romanian Statistical Review 61 (2013) 7, pp. 27-41
(Bucharest Exchange Trading Investment Funds) volatility, developed by the Bucharest Stock Exchange (BSE). We tried to identify … an econometric model to model the volatility of the BET-FI index. The analysis was performed using GARCH models, which … the BET-FI index volatility for the period 03.01.2008 - 04.12.2013 (1332 daily values ) and we noticed which are the …
Persistent link: https://www.econbiz.de/10010860034
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The Impact of Exchange Rate Volatility on Trade: A Panel Study on Pakistan’s Trading Partners
Khan, Abdul Jalil; Azim, Parvez; Syed, Shabib Haider - In: Lahore Journal of Economics 19 (2014) 1, pp. 31-66
This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and … least-squares dummy variable technique with fixed-effects estimation to measure the volatility impact on both demand … functions. The study evaluates a series of exchange rates from 1970:01 to 2009:12 to compare the long-run impact of volatility …
Persistent link: https://www.econbiz.de/10010861908
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Forecasting volatility with switching persistence GARCH models
Franses, Philip Hans; van Dijk, Dick; Neele, Neele, J. - Faculteit der Economische Wetenschappen, Erasmus … - 1998
In this paper we examine the forecasting performance of five nonlinear GARCH(1,1) models. Four of these have recently been proposed in literature, while the fifth model is a new one. All five models allow for switching persistence of shocks, depending on the value and/or sign of recent returns....
Persistent link: https://www.econbiz.de/10010837955