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Intensity of price and volatility spillover effects in Asia-Pacific basin equity markets

Abidin, Sazali; Reddy, Krishna; Zhang, Chun - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 3-18

Persistent link: https://www.econbiz.de/10010520433

Forecasting exchange rate volatility : GARCH models versus implied volatility forecasts

Pilbeam, Keith; Langeland, Kjell Noralf - In: International economics and economic policy : IEEP 12 (2015) 1, pp. 127-142

Persistent link: https://www.econbiz.de/10011375830

Modelling energy spot prices : empirical evidence from NYMEX

Nomikos, Nikos K.; Andriosopoulos, Kostas - In: Energy economics 34 (2012) 4, pp. 1153-1169

Persistent link: https://www.econbiz.de/10009688111

Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model

Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004

Persistent link: https://www.econbiz.de/10010415355

Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension

Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012819431

FX market volatility modelling : can we use low-frequency data?

Lyócsa, Štefan; Plíhal, Tomáš; Výrost, Tomáš - In: Finance research letters 40 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012820071

Spiking the volatility punch

Carr, Peter; Figà-Talamanca, Gianna - In: Applied mathematical finance 27 (2020) 6, pp. 495-520

Persistent link: https://www.econbiz.de/10012516169

Volatility spillovers in Australian electricity markets

Han, Lin; Kordzakhia, Nino; Trück, Stefan - In: Energy economics 90 (2020), pp. 1-26

Persistent link: https://www.econbiz.de/10012517199

A survey on volatility fluctuations in the decentralized cryptocurrency financial assets

Kyriazis, Nikolaos A. - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-46

This study is an integrated survey of GARCH methodologies applications on 67 empirical papers that focus on cryptocurrencies. More sophisticated GARCH models are found to better explain the fluctuations in the volatility of cryptocurrencies. The main characteristics and the optimal approaches...

Persistent link: https://www.econbiz.de/10012622468

Futures trading, spot price volatility and structural breaks : evidence from energy sector

Shirodkar, Sanjeeta; Raju, Guntur Anjana - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 230-239

Persistent link: https://www.econbiz.de/10012623501