Similar Search Results

Time-varying risk premium yield spread effect in term structure and global financial crisis : evidence from Europe

Choudhry, Taufiq - In: International review of financial analysis 48 (2016), pp. 303-311

Persistent link: https://www.econbiz.de/10011624526

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models

Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100

Persistent link: https://www.econbiz.de/10012051118

Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter

Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973

Persistent link: https://www.econbiz.de/10011860929

Exchange rate volatility and United Kingdom trade: evidence from Canada, Japan and New Zealand

Choudhry, Taufiq - In: Empirical Economics 35 (2008) 3, pp. 607-619

Persistent link: https://www.econbiz.de/10005612870

Forecasting the weekly time-varying beta of UK firms: GARCH models vs. Kalman filter method

Choudhry, Taufiq; Wu, Hao - In: The European Journal of Finance 15 (2009) 4, pp. 437-444

This paper investigates the forecasting ability of three different Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models and the Kalman filter method. The three GARCH models applied are: bivariate GARCH, BEKK GARCH, and GARCH-GJR. Forecast errors based on 20 UK company's...

Persistent link: https://www.econbiz.de/10004966527