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Do BRIC countries stock market volatility move together? : an empricial analysis of using multivariate GARCH models
Tripathy, Nalini Prava - In: International journal of business and emerging markets … 9 (2017) 2, pp. 104-123
Persistent link: https://www.econbiz.de/10011776067
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Stock market volatility and anomalies in India : a behavioural approach
Siddiqui, Taufeeque Ahmad; Narula, Isha - In: Asia-Pacific journal of management research and … 12 (2016) 3/4, pp. 194-202
Persistent link: https://www.econbiz.de/10011785023
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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A note on conditional variance and decaying rate : Chinese equity market
Amanjot Singh - In: Journal of quantitative economics 16 (2018) 2, pp. 595-611
Persistent link: https://www.econbiz.de/10012418518
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Modelling persistence in the conditional mean of inflation using the ARFIMA process with GARCH and GJR-GARCH innovations : the case of Ghana and South Africa
Boateng, Alexander; Lesaoana, Maseka; Siweya, Hlengani; … - In: African review of economics & finance : AREF : (a … 9 (2017) 2, pp. 96-130
Persistent link: https://www.econbiz.de/10011780438
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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
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The analytics of momentum
Kwon, Oh Kang; Satchell, Stephen - In: The journal of asset management 20 (2019) 6, pp. 433-441
Persistent link: https://www.econbiz.de/10012125379
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Are banks still a risk source for stock market? : Some empirical evidences
Anelli, Michele; Patanè, Michele; Zedda, Stefano - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-13
The global financial crisis of 2008 proved that what initially appeared to be relatively small losses in the financial system can be magnified to systemic ones. The European Union debt crisis has thus revived interest in the interdependence across different markets, especially sovereign debt...
Persistent link: https://www.econbiz.de/10013370490