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Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
Antunes, João Marques; Fuinhas, José Alberto; … - Volkswirtschaftliche Fakultät, … - 2014
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993...
Persistent link: https://www.econbiz.de/10011108622
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Volatility Spillover in India, USA and Japan Investigation of Recession Effects
Sinha, Pankaj; Sinha, Gyanesh - Volkswirtschaftliche Fakultät, … - 2010
the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10011108677
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Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH
Ari, Yakup - Volkswirtschaftliche Fakultät, … - 2012
Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH … and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …
Persistent link: https://www.econbiz.de/10011110949
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Natural Gas markets:How Sensitive to Crude Oil Price Changes?
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2009
This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels...
Persistent link: https://www.econbiz.de/10004961504
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Volatility Spillover in India, USA and Japan Investigation of Recession Effects
Sinha, Pankaj; Sinha, Gyanesh - Volkswirtschaftliche Fakultät, … - 2010
the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10008543770
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High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca - 2016
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011730304
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High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011674479
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AN EMPIRICAL STUDY OF VOLATILITY AND TRADING VOLUME DYNAMICS USING HIGH-FREQUENCY DATA
Lu, Wen-Cheng; Lin, Fang-Jun - In: The International Journal of Business and Finance Research 4 (2010) 3, pp. 93-101
This paper examines the dynamic relationship of volatility and trading volume using a bivariate vector autoregressive methodology. This study found bidirectional causal relations between trading volume and volatility, which is in accordance with sequential information arrival hypothesis that...
Persistent link: https://www.econbiz.de/10011206136
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Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models
Bildirici, Melike; Ersin, Özgür - Volkswirtschaftliche Fakultät, … - 2012
Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH … LSTAR type and ANN based nonlinearity. With this purpose, the study proposed several LSTAR-GARCH-NN family models. It is …. Accordingly, linear GARCH, fractionally integrated FI-GARCH, asymmetric power APGARCH and fractionally integrated asymmetric power …
Persistent link: https://www.econbiz.de/10011113045
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Shephard, Neil; Sheppard, Kevin - Department of Economics, Oxford University - 2012
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...
Persistent link: https://www.econbiz.de/10009650770