Narrow search
Showing 1 - 7 of 7
Cover Image
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
Diks, Cees; van der Weide, Roy - 2003
predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10010324793
Cover Image
Analysis of financial contagion in influential African stock markets
Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021) 1, pp. 1-9
conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By …
Persistent link: https://www.econbiz.de/10012664357
Cover Image
Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10011334332
Cover Image
Analysis of financial contagion in influential African stock markets
Aderajo, Oluwatosin Mary; Olaniran, Oladotun Daniel - In: Future Business Journal 7 (2021), pp. 1-9
conditional correlation multivariate GARCH model to ascertain the contagious effect of the US to the selected African markets. By …
Persistent link: https://www.econbiz.de/10012493750
Cover Image
Comparative volatility study on India VIX by GARCH and Shannon's entropy form a behavioural finance viewpoint
Ghosh, Bikramaditya; Nisha, Nabila - In: International journal of applied business and economic … 16 (2018) 2, pp. 317-324
Persistent link: https://www.econbiz.de/10012007315
Cover Image
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
Diks, Cees; Weide, Roy van der - Tinbergen Institute - 2003
returns with GARCH($1,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in … predicted sign of the MA coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10005144520
Cover Image
Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003
predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10011256802