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Modeling time-varying correlations in volatility between BRICS and commodity markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723

Persistent link: https://www.econbiz.de/10011594437

Impact of the FII's Indian equity investment behavior on the BRIC countries' stock market volatility during the Subprime Crisis : an empirical investigation

Amanjot Singh; Kaur, Parneet - In: Journal of academic research in economics 6 (2014) 3, pp. 336-349

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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach

Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894

the strong leverage effect indicating completely different specification of volatility regimes by the MS-GJR-GARCH model. … the behaviour of returns and their volatility during both the calm as well as various crises/turmoil periods. Besides the … traditional GARCH-type models (GARCH and GJR-GARCH) the two-regime Markov Switching GARCHtype models (MS-GARCH and MS-GJR-GARCH …

Persistent link: https://www.econbiz.de/10013499116

Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach

Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243

Persistent link: https://www.econbiz.de/10011865998

Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184

Persistent link: https://www.econbiz.de/10010403630

The impact of firm-specific public news on intraday market dynamics : evidence from the Turkish stock market

Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging markets finance & trade : a journal of the … 47 (2011) 6, pp. 99-119

Persistent link: https://www.econbiz.de/10009563064

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

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Persistent link: https://www.econbiz.de/10011583871

An exponential GARCH approach to the effect of impulsiveness of euro on Indian stock market

Sahadudheen I - In: Journal of Asian finance, economics and business : JAFEB 2 (2015) 3, pp. 17-22

Persistent link: https://www.econbiz.de/10011688476

Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market

Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011842038

Modeling stock market return volatility : GARCH evidence from Nifty Realty Index

Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10013349014

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