Showing 1 - 7 of 7
There is an extensive amount of financial literature which focuses on the relationship between the day of the week effect and the returns assets. This relation is developed well by several researchers. Whereas, the obtained results to differentiate from a study to the other one. Thus,...
Persistent link: https://www.econbiz.de/10013039897
There is an extensive amount of financial literature which focuses on the relationship between the day of the week effect and the returns assets. This relation is developed well by several researchers. Whereas, the obtained results to differentiate from a study to the other one. Thus,...
Persistent link: https://www.econbiz.de/10013039900
Persistent link: https://www.econbiz.de/10011438907
Purpose - This paper aims to provide an important perspective to the predictive capacity of Organization of the Petroleum Exporting Countries (OPEC) meeting dates and production announcements for energy futures (crude oil West Texas Intermediate (WTI), gasoline reformulated gasoline blendstock...
Persistent link: https://www.econbiz.de/10012433917
In this paper, we examine empirically the day-of-the-week effect on the Tunisian stock exchange index (TUNINDEX) return and volatility. We use three multivariate general autoregressive conditional heteroscedasticity models (GARCH (1,1), EGARCH (1,1), and TGARCH (1,1)) to examine the presence of...
Persistent link: https://www.econbiz.de/10012942469
The task of processing systemic events and its negative externalities requires approaches to measure systemic risks and break it down into contributions of different institutions. The main objective of the present paper is to estimate the systemic risk of European banks following the financial...
Persistent link: https://www.econbiz.de/10012942476
In this study, we use for the first time the conditional heteroscedasticity specifications (GARCH, AGARCH, APARCH, Asymmetry MEM, MEM, EGARCH, GJR GARCH, and GAS-GARCH Student t models) to examine the volatility of exchange rate returns between the US Dollar and the Euro. So, the conditional...
Persistent link: https://www.econbiz.de/10012942499