Narrow search
Showing 1 - 10 of 987
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices
Ghassan, Hassan B.; Banerjee, Prashanta K. - In: Empirical economics : a journal of the Institute for … 49 (2015) 1, pp. 305-323
Persistent link: https://www.econbiz.de/10011325705
Cover Image
The impact of investor sentiment on Bitcoin returns and conditional volatilities during the era of COVID-19
Güler, Derya - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 276-289
Persistent link: https://www.econbiz.de/10014330972
Cover Image
Does inflation uncertainty hurt domestic investment? : empirical evidence from Ghana
Kamasa, Kofi; Kpodo, Eunice Efua; Bonuedi, Isaac; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17
heteroscedasticity (CGARCH (1, 1)) model. Employing the autoregressive distributed lag (ARDL) estimator on data covering 1970 to 2020 …
Persistent link: https://www.econbiz.de/10013390990