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The Superiority of Time-Varying Hedge Ratios in Turkish Futures

Olgun, Onur; Yetkiner, I. Hakan - 2009

) and time-varying hedge ratio estimates (obtained via M-GARCH method) for future contracts of ISE-30 index of TurkDEX. We …

Persistent link: https://www.econbiz.de/10011807200

Asymmetric effects of US stock returns on European equities

Wahab, Mamoud S. - In: International review of economics & finance : IREF 21 (2012) 1, pp. 156-172

Persistent link: https://www.econbiz.de/10009485791

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717

Market volatility transmission and central banking : what happened during the subprime crisis?

Bensafta, Kamel Malik; Semedo, Gervasio - In: International economic journal 28 (2014) 4, pp. 559-588

Persistent link: https://www.econbiz.de/10010504200

Estimating time-varying currency betas with contagion : new evidence from developed and emerging financial markets

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the world economy : international journal of … 30 (2014), pp. 10-24

Persistent link: https://www.econbiz.de/10010462927

Market interdependence and volatility transmission among major crops

Gardebroek, Cornelis; Hernandez, Manuel A.; Robles, Miguel - In: Agricultural economics : the journal of the … 47 (2016) 2, pp. 141-155

Persistent link: https://www.econbiz.de/10011662000

Volatility effects of index trading and spillovers on US agricultural futures markets : a multivariate GARCH approach

Sanjuán-López, Ana I.; Dawson, Philip J. - In: Journal of agricultural economics 68 (2017) 3, pp. 822-838

Persistent link: https://www.econbiz.de/10011949368

Volatility integration of global stock markets with the Malaysian stock market : a multivariate GARCH approach

Qian, Peh Ying; Diaz, John Francis - In: Malaysian journal of economic studies 54 (2017) 1, pp. 83-117

Persistent link: https://www.econbiz.de/10011825756

Volatility transmission between US and Latin American stock markets : testing the decoupling hypothesis

Cardona, Laura; Gutiérrez, Marcela; Agudelo, Diego A. - In: Research in international business and finance 39 (2017), pp. 115-127

Persistent link: https://www.econbiz.de/10011876451

Modelling UK house prices with structural breaks and conditional variance analysis

Begiazi, Kyriaki; Katsiampa, Paraskevi - In: The journal of real estate finance and economics 58 (2019) 2, pp. 290-309

Persistent link: https://www.econbiz.de/10012151936