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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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On Univariate and Multivariate GARCH Models : Oil Price and Stock Market Returns Volatilities
Guerouah, Amine - 2016
This paper investigates the empirical properties of oil price and Stock market return volatilities using a range of univariate and multivariate GARCH models and monthly data from the U.S. The study relates the period August 1987 to October 2016, a total of 351 observations given. The aim of this...
Persistent link: https://www.econbiz.de/10012977192
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Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10010511544
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An econometric analysis of volatility discovery
Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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Asymmetric generalized impulse responses with an application in finance
Hatemi-J, Abdulnasser - In: Economic modelling 36 (2014), pp. 18-22
Persistent link: https://www.econbiz.de/10010412088
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Common persistence in conditional variance : a reconsideration
Li, Chang-shuai - In: Economic modelling 29 (2012) 5, pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
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Multivariate rotated ARCH models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of econometrics 179 (2014) 1, pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
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Modelling changes in the unconditional variance of long stock return series
Amado, Cristina; Teräsvirta, Timo - In: Journal of empirical finance 25 (2014), pp. 15-35
Persistent link: https://www.econbiz.de/10010462094
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The sources of stock market volatility in Pakistan
Ihsan, Hajra; Ahmed, Eatzaz - In: Journal of world economic review 15 (2020) 1, pp. 15-34
Persistent link: https://www.econbiz.de/10012670422