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Determinanty integrácie akciových trhov krajín V4
Baumöhl, Eduard - In: Politická ekonomie : teorie, modelování, aplikace 62 (2014) 3, pp. 347-365
Persistent link: https://www.econbiz.de/10010415498
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Determinants of CEE-4 Stock Market Integration
Baumöhl, Eduard - In: Politická ekonomie 2014 (2014) 3, pp. 347-365
Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is...
Persistent link: https://www.econbiz.de/10011228234
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Volatility patterns of CDS, bond and stock markets before and during the financial crisis: Evidence from major financial institutions
Belke, Ansgar; Gokus, Christian - 2011
. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10010327303
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Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011984362
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Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models
Caporale, Guglielmo Maria; Zekokh, Timur - 2018
cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … well as using a Model Confidence Set (MCS) procedure for their loss functions. The results imply that using standard GARCH …
Persistent link: https://www.econbiz.de/10011931917
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Day-of-the-week anomaly: An illusion or a reality? Evidence from Naira/Dollar exchange rates
Osabuohien-Irabor, Osarumwense - In: CBN Journal of Applied Statistics 07 (2016) 1, pp. 311-332
results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day …
Persistent link: https://www.econbiz.de/10011961644
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The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market
Worthington, Andrew C.; Higgs, Helen - 2004
conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …
Persistent link: https://www.econbiz.de/10009437450
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Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - 2011
. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10010273568
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Exchange rate volatility in Nigeria: Consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 29-49
examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …
Persistent link: https://www.econbiz.de/10011482561
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Volatility modeling and dependence structure of ESG and conventional investments
Górka, Joanna; Kuziak, Katarzyna - In: Risks 10 (2022) 1, pp. 1-25
, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …
Persistent link: https://www.econbiz.de/10013200911