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Volatility modeling and asset pricing : extension of GARCH model with macro economic variables, value-at- risk and semi-variance for KSE

Hamid, Kashif; Hasan, Arshad - In: Pakistan journal of commerce and social sciences 10 (2016) 3, pp. 569-587

The purpose of this study is to identify the behavior of returns and volatility with the attributes of non-linearities and asymmetric patterns in the returns series of KSE and modeling of volatility for asset pricing with macroeconomic, value at risk and semi-variance in GARCH specification....

Persistent link: https://www.econbiz.de/10011929454

Volatility Modeling and Asset Pricing : Extension of GARCH Model with Macro Economic Variables, Value-at-Risk and Semi-Variance for KSE

Hamid, Kashif - 2017

Persistent link: https://www.econbiz.de/10012966118

Stock market reaction to terrorist attacks : empirical evidence from a front line state

Suleman, Muhammad Tahir - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 97-110

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Quantile dependencies between discontinuities and time-varying rare disaster risks

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Asymmetric volatility connectedness between Islamic stock and commodity markets

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Nonlinear dynamic correlation between geopolitical risk and oil prices : a study based on high-frequency data

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Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data

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Speculation, cross-market sentiment and the predictability of gold market volatility

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Stock returns and asymmetric volatility spillover dynamics between Asian emerging markets

Habiba, Umme; Shen, Peilong; Hamid, Kashif; Shahzad, Farrukh - In: Global business review 22 (2021) 5, pp. 1131-1145

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The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging

Badshah, Ihsan Ullah; Demirer, Rıza; Suleman, Muhammad … - In: Energy economics 84 (2019), pp. 1-10

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