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Improving volatility forecasts : evidence from range-based models
Fałdziński, Marcin; Fiszeder, Piotr; Molnár, Peter - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10014445632
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Impact of currency futures on volatility in exchange rate : a study of Indian currency market
Kumar, Ashish - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 1, pp. 95-108
Persistent link: https://www.econbiz.de/10011761360
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Volatility spillovers between foreign exchange markets of India and China
Kumar, Surender; Dublish, Puneet; Haque, Moon Moon - In: Asia-Pacific journal of management research and … 12 (2016) 2, pp. 134-144
Persistent link: https://www.econbiz.de/10011720265
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Asymmetric cross-market volatility spillovers : evidence from Indian equity and foreign exchange markets
Panda, Pradiptarathi; Deo, Malabika - In: Decision 41 (2014) 3, pp. 261-270
Persistent link: https://www.econbiz.de/10010412792
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The impact of German macroeconomic data announcements on the Czech financial market
Moravcová, Michala - 2015
generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory … volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …
Persistent link: https://www.econbiz.de/10011317142
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Analyzing the COVID-19 pandemic volatility spillover influence on the collaboration of foreign and Indian stock markets
Das, Runumi; Debnath, Arabinda - In: Revista finanzas y política económica 14 (2022) 2, pp. 411-452
Persistent link: https://www.econbiz.de/10013383620
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Return and volatility spillover effects between rupee-dollar exchange rate and Asian stock indices
Mahalakshmi S.; Thiyagarajan, S.; Vasudevan, Gopala; … - In: Journal of emerging market finance 21 (2022) 4, pp. 428-450
Persistent link: https://www.econbiz.de/10013479483
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A new Pearson-type QMLE for conditionally heteroscedastic models
Zhu, Ke; Li, Wai Keung - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 552-565
Persistent link: https://www.econbiz.de/10011403239
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The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility
Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1608-1615
Persistent link: https://www.econbiz.de/10011775273
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The impacts of oil price and exchange rate on Vietnamese stock market
Nguyen Tra Ngoc; Dat Thanh Nguyen; Nguyễn, Ngọc Vũ - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 8, pp. 143-150
Persistent link: https://www.econbiz.de/10012670633