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GARCH modelling of high-capitalization cryptocurrencies' impacts during bearish markets
Panagiotis, Anastasiadis; Efthymios, Katsaros; … - In: Journal of Central Banking Theory and Practice 9 (2020) 3, pp. 87-106
, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 …
Persistent link: https://www.econbiz.de/10014558497
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Option pricing in a conditional Bilateral Gamma model
Bellini, Fabio; Mercuri, Lorenzo - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 373-390
Persistent link: https://www.econbiz.de/10010356905
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GARCH modelling of high-capitalization cryptocurrencies’ impacts during bearish markets
Panagiotis, Anastasiadis; Efthymios, Katsaros; … - In: Journal of central banking theory and practice 9 (2020) 3, pp. 87-106
, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 …
Persistent link: https://www.econbiz.de/10012306791
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Dynamic conditional correlation between electricity, energy (commodity) and financial markets during the financial crisis in Greece
Papaioannou, Panagiotis G.; Papaioannou, George P.; … - In: Journal of mathematical finance 7 (2017) 4, pp. 990-1033
Persistent link: https://www.econbiz.de/10011860252
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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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Couverture du risque de volatilité et de corrélation dans un portefeuille
Malongo, Hassan - Université Paris-Dauphine (Paris IX) - 2014
literature review of univariate and multivariate GARCH-type models, the author establishes results for the existence and …
Persistent link: https://www.econbiz.de/10010938598
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Extração da Volatilidade do Ibovespa
Souza-Sobrinho, Nelson - Volkswirtschaftliche Fakultät, … - 2001
models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest …
Persistent link: https://www.econbiz.de/10005025693
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The impact of climate change news on the US stock market
Fedorova, Elena; Iasakova, Polina - In: The journal of risk finance : JRF 25 (2024) 2, pp. 293-320
Persistent link: https://www.econbiz.de/10014504701
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Do exchange rate volatility and public expenditures influence selected crop output in Nigeria?
Ali, Ayuba; Obekpa, Hephzibah Onyeje; Adejo, Moses Adejo - In: International journal of sustainable economies … 11 (2022) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10014290693
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The GARCH Option Pricing Model: A Modification of Lattice Approach
Wu, Chun-Chou - In: Review of Quantitative Finance and Accounting 26 (2006) 1, pp. 55-66
-varying volatility GARCH frameworks. Even though the lattice approach worked well for the pricing of the GARCH options, it was … adjustment, the lattice method performs properly for option pricing under the GARCH process. Copyright Springer Science …
Persistent link: https://www.econbiz.de/10005673845