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The econometrics of the "market model" : cointegration, error correction and exogeneity
Mills, Terence C. - In: International journal of finance & economics : IJFE 1 (1996) 4, pp. 275-286
Persistent link: https://www.econbiz.de/10001211526
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On the dynamic interdependence of international stock markets : a Swiss perspective
Isakov, Dušan; Pérignon, Christophe - 1999
Persistent link: https://www.econbiz.de/10001488308
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Long-term dependence in stock returns
Barkoulas, John T. - In: Economics letters 53 (1996) 3, pp. 253-259
Persistent link: https://www.econbiz.de/10001216270
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Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model
Li, Wai Keung - In: The statistician : journal of the Institute of Statisticians 44 (1995) 3, pp. 333-341
Persistent link: https://www.econbiz.de/10001185761
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Forecasting volatility of stock indices with ARCH model
Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143
Persistent link: https://www.econbiz.de/10010205105
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Time Series Analysis Using ARCH Models : A Case Analysis of Australian Stock Index
Mittal, Prabhat - 2021
Australian All Ordinaries Stock Index has been in the headline since 1997 for its tear jerking effect on the stock exchange. Present work attempts to develop a realistic time-series model to explain the behavior of the stock price data during 2 January 1997 to 29 December 2006 collected from...
Persistent link: https://www.econbiz.de/10013222846
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Dynamic interaction between historical and implied volatility in the Indian option market
Viswanathan, T.; Sriram, R.; Mukherjee, Prathana - In: International journal of public sector performance … 8 (2021) 1/2, pp. 128-144
Persistent link: https://www.econbiz.de/10012696739
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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Can international market indices estimate tasi's movements? : the ARIMA model
Assous, Hamzeh F.; Al-Rousan, Nadia; Al-Najjar, Dania; … - In: Journal of open innovation : technology, market, and … 6 (2020) 2/27, pp. 1-17
This study investigates the effectiveness of six of the key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement. To investigate the relationship between TASI and other variables, six equations were built using two independent variables of time and...
Persistent link: https://www.econbiz.de/10012231615