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The dynamic behavior of evolving efficiency : evidence from the UAE stock markets
Al-Shboul, Mohammad; Alsharari, Nizar Mohammad - In: The quarterly review of economics and finance : journal … 73 (2019), pp. 119-135
Persistent link: https://www.econbiz.de/10012296690
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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10010271372
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Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets
Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86
In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … Americans), during March 2013 - January 2017. The results of the GARCH (1.1) show that the models are correctly specified for … stock indices analysed. In the case of the GARCH-M (1.1) model, the variance coefficient in the mean equation was …
Persistent link: https://www.econbiz.de/10011964941
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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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Das CAPM mit zeitabhängigen Beta-Faktoren : eine empirische Untersuchung am deutschen Kapitalmarkt
Linnenbrink, Karin - 1998 - 1. Aufl.
Persistent link: https://www.econbiz.de/10000672629
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GARCH models : structure, statistical inference and financial applications
Francq, Christian; Zakoïan, Jean-Michel - 2010
Persistent link: https://www.econbiz.de/10003954916
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Decomposing European bond and equity volatility
Christiansen, Charlotte - In: International journal of finance & economics : IJFE 15 (2010) 2, pp. 105-122
Persistent link: https://www.econbiz.de/10008702362
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Terrorism and capital markets : the effects of the Madrid and London bomb attacks
Kollias, Chrēstos; Papadamou, Stephanos; Stagiannis, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 532-541
Persistent link: https://www.econbiz.de/10009303984
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The world oil price movements and stock returns in several Southeast Asia's capital markets
Hersugondo; Robiyanto; Wahyudi, Sugeng; Muharam, Harjum - In: International journal of applied business and economic … 13 (2015) 2, pp. 527-534
Persistent link: https://www.econbiz.de/10011376435
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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 …
Persistent link: https://www.econbiz.de/10011317142