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Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … conditional heteroscedasticity Lagrange multiplier (ARCHLM) techniques in conducting the empirical analysis. Descriptive …, estimates from the ARCHLM model provide evidence of heteroscedasticity in most of the sectors’ returns. Overall results from the …

Persistent link: https://www.econbiz.de/10011862130

Volatility of stock markets : (an analysis of South Asian and G8 countries)

Baig, Muhammad Mansoor; Aslam, Waheed; Malik, Qaiser; … - In: Acta Universitatis Danubius / Oeconomica 11 (2015) 6, pp. 58-70

Persistent link: https://www.econbiz.de/10011513908

Do bitcoins follow a random walk model?

Aggarwal, Divya - In: Research in economics : an international review of economics 73 (2019) 1, pp. 15-22

Persistent link: https://www.econbiz.de/10012305863

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …

Persistent link: https://www.econbiz.de/10012022130

Application of GARCH model to forecast data and volatility of share price of energy (Study on Adaro Energy Tbk, LQ45)

Virginia, Erica; Ginting, Josep; Elfaki, Faiz A. M. - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 131-140

Persistent link: https://www.econbiz.de/10011881316

Stock Prices Trend Analysis : Comparative Neural Networks, Linear Models and Conditional Heteroscedasticity Models

Dabirian, Manoochehr; Shams, Shahabeddin - 2013

obtained from Linear Models and Conditional heteroscedasticity models …

Persistent link: https://www.econbiz.de/10014159095

Capturing the stock market volatility : a study of sectoral indices in India using symmetric GARCH models

Khera, Aastha; Goyal, Anisha; Yadav, Miklesh Prasad - In: International journal of management practice : IJMP 15 (2022) 6, pp. 820-833

Persistent link: https://www.econbiz.de/10013415146

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200

Persistent link: https://www.econbiz.de/10012659646

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

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