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Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie
Brechtmann, Markus - 1998
Persistent link: https://www.econbiz.de/10000675119
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Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10010511544
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228
Persistent link: https://www.econbiz.de/10010351158
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Volatility of stock markets : (an analysis of South Asian and G8 countries)
Baig, Muhammad Mansoor; Aslam, Waheed; Malik, Qaiser; … - In: Acta Universitatis Danubius / Oeconomica 11 (2015) 6, pp. 58-70
Persistent link: https://www.econbiz.de/10011513908
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Bayesian estimation and prediction for ACD models in the analysis of trade durations from the Polish stock market
Huptas, Roman - In: Central European journal of economic modelling and … 6 (2014) 4, pp. 237-273
Persistent link: https://www.econbiz.de/10010503009
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Are frontier stock markets more inefficient than emerging stock markets?
Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284
Persistent link: https://www.econbiz.de/10010412983
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A GARCH model for testing market efficiency
Narayan, Paresh Kumar; Liu, Ruipeng; Westerlund, Joakim - In: Journal of international financial markets, … 41 (2016), pp. 121-138
Persistent link: https://www.econbiz.de/10011475947
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On Univariate and Multivariate GARCH Models : Oil Price and Stock Market Returns Volatilities
Guerouah, Amine - 2016
This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this...
Persistent link: https://www.econbiz.de/10012977192
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The sources of stock market volatility in Pakistan
Ihsan, Hajra; Ahmed, Eatzaz - In: Journal of world economic review 15 (2020) 1, pp. 15-34
Persistent link: https://www.econbiz.de/10012670422