Similar Search Results

Power of moment-based normality tests : empirical analysis on Indian stock market index

Shaik, Muneer; Gulhane, Rutvik Digambar - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 2989-2997

Persistent link: https://www.econbiz.de/10014327637

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

Forecasting volatility of European and Asian equity indices with Hansen's skew-t and fat tailed distributions, as well as with non-linear asymmetric effects

Gabrielsen, Alexandros; Sarmpezoudis, Sotirios - In: International journal of economic research 9 (2012) 2, pp. 243-263

Persistent link: https://www.econbiz.de/10009685246

Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns

Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64

Persistent link: https://www.econbiz.de/10011475596

Realized skewness and the short-term predictability for aggregate stock market volatility

Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163911

Does the Indian stock market exhibit random walk?

Dsouza, Janet Jyothi; Mallikarjunappa, T. - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011761334

Modeling Market Volatility with Mixed Exponential Power Asymmetric Conditional Heteroskedasticity : An Application to Shanghai Stock Exchange Composite Index Daily Returns

Shi, Kai - 2012

We utilize the mixed exponential power asymmetric GARCH model where each component exhibits asymmetric conditional … likelihood estimation makes it more attractive in the applications of risk management of portfolio and VaR calculation …

Persistent link: https://www.econbiz.de/10013103551

Price and volatility spillovers across North American, European and Asian stock markets : with special focus on Indian stock market

Singh, Priyanka D. (contributor); Kumar, Brajesh (contributor) - 2008

Persistent link: https://www.econbiz.de/10003791262

Dependence between Croatian and European stock markets : a copula GARCH approach

Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232

Persistent link: https://www.econbiz.de/10010240939