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An assessment of volatility and leverage effect before and during the period of Covid-19 : a study of selected international stock markets
Bhunia, Amalendu; Ganguly, Soumya - In: International journal of financial services management … 10 (2020) 2, pp. 113-127
Persistent link: https://www.econbiz.de/10012510344
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Valid inference for a class of models where standard inference performs poorly: Including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
Pagan (1980)., We show that this test has nearly correct size in non-linear regression, ARMA, GARCH, and Unobserved …
Persistent link: https://www.econbiz.de/10010294011
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How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
Liu, Lin; Chen, Qiguang - In: Financial Innovation 6 (2020) 1, pp. 1-21
the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and …
Persistent link: https://www.econbiz.de/10012602871
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Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?
Zarafat, Hashem; Liebhardt, Sascha; Eratalay, Mustafa Hakan - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-32
It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and solvency ratios of the constituent...
Persistent link: https://www.econbiz.de/10014332521
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Speed of reaction of share price indices to macroeconomic information
Sree Vinutha V.; Rao, S. V. D. Nageswara - In: The empirical economics letters : a monthly … 12 (2013) 10, pp. 1141-1153
Persistent link: https://www.econbiz.de/10010363750
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Estimation of dynamic VaR using JSU and PIV distributions
Venkataraman, Sree Vinutha; Rao, S. V. D. Nageswara - In: Risk management : a journal of risk, crisis and disaster 18 (2016) 2/3, pp. 111-134
Persistent link: https://www.econbiz.de/10011537388
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Modeling volatility in the Gambian exchange rates : an ARMA-GARCH approach
Marreh, Sambujang; Olubusoye, Olusanya E.; Kihoro, John M. - In: International journal of economics and finance 6 (2014) 10, pp. 118-128
Persistent link: https://www.econbiz.de/10010422149
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Machine learning in fine wine price prediction
Yeo, Michelle; Fletcher, Tristan; Shawe-Taylor, John - In: Journal of wine economics 10 (2015) 2, pp. 151-172
Persistent link: https://www.econbiz.de/10011403085
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A statistical analysis of the Colombo stock returns
Zhang, Zili; Nadarajah, Saralees - In: Global business review 22 (2021) 1, pp. 101-118
Persistent link: https://www.econbiz.de/10012483216
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2018 - Corrected publication 2021
Chapter 1: Introduction -- Chapter 2: ARMA (p,q) Processes -- Chapter 3: Non-Stationary and ARIMA (p,d,q) Processes …
Persistent link: https://www.econbiz.de/10012397044