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Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange
Çağlı, Efe Çağlar; Mandacı, Pınar Evrim; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140
This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …
Persistent link: https://www.econbiz.de/10009958079
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The New Keynesian Phillips Curve in an inflation targeting country : the case of Turkey
Gozgor, Giray - In: International journal of economic sciences and applied … 6 (2013) 1, pp. 7-18
targeting monetary policy. The results from Generalized Methods of Moments (GMM) estimation suggest that empirical findings are …
Persistent link: https://www.econbiz.de/10010160677
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Return, volume and volatility relationship in the Indian stock market : pre- and post-automation analysis
Mahajan, Sarika; Singh, Balwinder - In: Praj̄nȧn : journal of social and management sciences 41 (2013) 4, pp. 343-352
Persistent link: https://www.econbiz.de/10010147703
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The dynamics of geographic versus sectoral diversification : is there a link to the real economy?
Carrieri, Francesca; Errunza, Vihang; Sarkissian, Sergei - In: The quarterly journal of finance 2 (2012) 4, pp. 1901-1941
Persistent link: https://www.econbiz.de/10010148110
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Determination of asset prices via Google's search data : including a measurement of attention
Herzog, Bodo - In: International journal of applied economics and … 21 (2013) 2, pp. 183-206
Persistent link: https://www.econbiz.de/10010147565
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Arima-Garch models in estimating market risk using value at risk for the WIG20 index
Makiel, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 8 (2012) 2, pp. 25-33
This paper determines whether the VaR estimation is influenced by conditional distribution of return rates (normal, t …
Persistent link: https://www.econbiz.de/10010009392
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Does subprime crisis affect Chinese stock market returns?
Shi, Kai; Nie, Li - In: Journal of applied finance & banking 2 (2012) 6, pp. 163-173
This paper aims at testing the influence of Subprime Crisis on Chinese stock market returns. By means of newly proposed time series spatial analysis methodology, we investigate the dominance behavior of daily returns on both Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange...
Persistent link: https://www.econbiz.de/10010118417
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The research on the distinguishing features of the international financial centers
Kayral, Ihsan Erdem; Karan, Mehmet Baha - In: Journal of applied finance & banking 2 (2012) 5, pp. 217-238
Although London appeared as the first international financial center on the world, the number of these kind of centers show a notable increase in the recent years. Those centers are regarded as magnetic places for the economic issues and they also serve as important economic centers. In the...
Persistent link: https://www.econbiz.de/10010058686
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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index
Oral, Ece - In: Journal of applied finance & banking 2 (2012) 5, pp. 149-158
investigate the relationship between stock return volatility and trading volume have found a positive correlation between the … volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable … National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading …
Persistent link: https://www.econbiz.de/10010058691
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Algunas observaciones acerca del uso de software en la estimación del modelo Half-Normal
Ortega Irizo, Francisco Javier; Gavilán Ruiz, José Manuel - In: Revista de métodos cuantitativos para la economía y … 11 (2011), pp. 3-16
the case in which the estimation obtained suggests the absence of random factors in the composite error term. We have … other hand, no estimation is obtained in the previous situation, with LIMDEP software, but an error message. -- stochastic …
Persistent link: https://www.econbiz.de/10009957389