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ECONIS (ZBW)
60
RePEc
45
EconStor
12
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1
Return and volatility spillovers in equity markets: An investigation using various
GARCH
methodologies
Dedi, Lidija
;
Yavas, Burhan F.
- In:
Cogent Economics & Finance
4
(
2016
)
1
,
pp. 1-18
: Germany, United Kingdom, China, Russia, and Turkey. MARMA,
GARCH
,
GARCH
-in-mean, and exponential
GARCH
(EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011988707
Saved in:
2
Dynamic volatility behaviour of stock markets in southern Africa
Mashamba, Tafirei
;
Magweva, Rabson
- In:
Journal of economic and financial sciences : JEF
12
(
2019
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10012019002
Saved in:
3
Reassessment of volatility transmission among South Asian equity markets
Aziz, Tariq
;
Marwat, Jahanzeb
;
Mustafa, Sheraz
;
Kumar, …
- In:
Journal of Asian finance, economics and business : JAFEB
8
(
2021
)
1
,
pp. 587-597
Persistent link: https://www.econbiz.de/10012692390
Saved in:
4
Return and volatility spillovers in equity markets : an investigation using various
GARCH
methodologies
Dedi, Lidija
;
Yavas, Burhan F.
- In:
Cogent economics & finance
4
(
2016
)
1
,
pp. 1-18
: Germany, United Kingdom, China, Russia, and Turkey. MARMA,
GARCH
,
GARCH
-in-mean, and exponential
GARCH
(EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011597965
Saved in:
5
The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad
;
Ghulam, Younis Ahmed
- In:
American journal of finance and accounting
7
(
2023
)
3/4
,
pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
Saved in:
6
Time-varying beta risk, volatility persistence and the asymmetric impact of news: evidence from industry portfolios
Koutmos, Dimitrios
- In:
Global Business and Economics Review
13
(
2011
)
1
,
pp. 42-56
This paper examines the time-varying behaviour of beta risk and degree of volatility persistence in the daily stock returns of 30 industry portfolios consisting of firms from the NYSE, AMEX and NASDAQ stock exchanges. Using an exponential ARCH (EGARCH) for this purpose, it further examines the...
Persistent link: https://www.econbiz.de/10009352592
Saved in:
7
Stock market volatility and equity trading volume : empirical examination from Brazil, Russia, India and China (BRIC)
Naik, Pramod Kumar
;
Padji, Puja
- In:
Global business review
16
(
2015
)
5
,
pp. 28-45
Persistent link: https://www.econbiz.de/10011410247
Saved in:
8
Stock returns, trading volumes and market volatility : a study on the Indian stock market
Naik, Pramod Kumar
;
Sethy, Tapas Kumar
- In:
The Indian economic journal
70
(
2022
)
3
,
pp. 406-416
Persistent link: https://www.econbiz.de/10013387728
Saved in:
9
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can have adverse effects on international tourist...
Persistent link: https://www.econbiz.de/10009141353
Saved in:
10
How Volatile is ENSO?
McAleer, Michael
;
Chu, LanFen
;
Chen, Chi-Chung
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10009141355
Saved in:
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