Similar Search Results

Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries

Radivojevic, Nikola; Curcic, Nikola; Milojkovic, Dragana; … - In: The journal of risk model validation 10 (2016) 2, pp. 57-81

Persistent link: https://www.econbiz.de/10011527481

Forecasting implied volatility surfaces

Audrino, Francesco; Colangelo, Dominik - 2008

Persistent link: https://www.econbiz.de/10003903349

Forecasting implied volatility surfaces

Audrino, Francesco; Colangelo, Dominik - 2007

Persistent link: https://www.econbiz.de/10003597924

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

Nonparametric realized volatility estimation in the international equity markets

Vortelinos, Dimitrios I.; Thomakos, Dimitrios D. - In: International review of financial analysis 28 (2013), pp. 34-45

Persistent link: https://www.econbiz.de/10009762711

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Estimating bull and bear betas for the Nigerian stock market using logistic smooth threshold model

Tumala, Mohammed M.; Yaya, OlaOluwa S. - In: CBN journal of applied statistics 6 (2015) 1, pp. 263-284

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...

Persistent link: https://www.econbiz.de/10011473527

Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

Persistent link: https://www.econbiz.de/10011489480

Asymmetric generalized impulse responses with an application in finance

Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22

Persistent link: https://www.econbiz.de/10010412088

Maximum likelihood estimation of time-varying parameters : an application to the Athens Stock Exchange index

Abutaleb, Ahmed S.; Papaioannou, Michael G. - In: Applied economics 32 (2000) 10, pp. 1323-1328

Persistent link: https://www.econbiz.de/10001527086

1
2
3
4
5
6
7
8
9
10
Next
Last