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International stock market integration: Central and South Eastern Europe compared
Horvath, Roman; Petrovski, Dragan - In: Economic Systems 37 (2013) 1, pp. 81-91
and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in the period 2006 …
Persistent link: https://www.econbiz.de/10011040286
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International Stock Market Integration: Central and South Eastern Europe Compared
Horvath, Roman; Petrovski, Dragan - William Davidson Institute, University of Michigan - 2012
, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006 …
Persistent link: https://www.econbiz.de/10010545917
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International Stock Market Integration : Central and South Eastern Europe Compared
Horvath, Roman; Petrovski, Dragan - Institut für Ost- und Südosteuropaforschung (IOS) - 2012
, Hungary and Poland) and South Eastern Europe (Croatia, Macedonia and Serbia) using multivariate GARCH models in 2006 …
Persistent link: https://www.econbiz.de/10011274516
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International stock market comovements: what happened during the financial crisis?
Horvath, Roman; Poldauf, Petr - Volkswirtschaftliche Fakultät, … - 2011
, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our …
Persistent link: https://www.econbiz.de/10009370830
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Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask
Fantazzini, Dean; Geraskin, Petr - Volkswirtschaftliche Fakultät, … - 2011
Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...
Persistent link: https://www.econbiz.de/10011113835
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Value-at-Risk-Estimation in the Mexican Stock Exchange Using Conditional Heteroscedasticity Models and Theory of Extreme Values
Salado, Alejandro Iván Aguirre; Huerta, Humberto Vaquera; … - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 1, pp. 177-205
combination of the autoregressive moving average models (ARMA); three different models of the arch family, one symmetric (GARCH …) and two asymmetric (GJR-GARCH and EGARCH); and the extreme value theory (EVT). The ARMA models were initially used to … obtain uncorrelated residuals, which were later used for the analysis of extreme values. The GARCH, EGARCH and GJR-GARCH …
Persistent link: https://www.econbiz.de/10010823163
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010985133
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Forecasting water consumption in Spain using univariate time series models
Caiado, Jorge - Volkswirtschaftliche Fakultät, … - 2007
models (Exponential Smoothing, ARIMA and GARCH) based on multi-step ahead forecast mean squared errors. We investigate …
Persistent link: https://www.econbiz.de/10005042727
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On risk prediction
Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2009
This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. Using daily data 2000-2006 for the...
Persistent link: https://www.econbiz.de/10005012478
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Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004
In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...
Persistent link: https://www.econbiz.de/10005063668