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Engle, Robert F. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 643-667

Persistent link: https://www.econbiz.de/10011623818

Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019

Persistent link: https://www.econbiz.de/10012134816

Modeling time-varying conditional betas : a comparison of methods with application for REITs

Aloy, Marcel; Laly, Floris; Laurent, Sébastien; … - In: Recent econometric techniques for macroeconomic and …, (pp. 229-264). 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter …

Persistent link: https://www.econbiz.de/10012395467

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …

Persistent link: https://www.econbiz.de/10010395968

Forecasting the volatilities of the Nigeria stock market prices

Ibrahim, Sikiru O. - In: CBN journal of applied statistics 8 (2017) 2, pp. 23-45

The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found...

Persistent link: https://www.econbiz.de/10011843540