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Zmienność cen pszenicy w Unii Europejskiej
Hamulczuk, Mariusz; Klimowski, Cezary - In: Problems of World Agriculture / Problemy Rolnictwa … 11 (2011) 26
Observed increased volatility of world commodity prices causes an increase of risk exposure. Thus market participants can not achieve the desired value of their goal function. The aim of this research was an assessment of wheat prices volatility in selected EU member states. Results of the...
Persistent link: https://www.econbiz.de/10011125633
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Effects of Volatility of Exports in the Philippines and Thailand
Sinha, Dipendra - Volkswirtschaftliche Fakultät, … - 2007
, there have been no studies which have used the GARCH methodology to study export volatility. This paper fills the void. It …
Persistent link: https://www.econbiz.de/10005835772
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The impact of stock spams on volatility
Bouraoui, Taoufik - In: Applied Financial Economics 21 (2011) 13, pp. 969-977
methodology and Generalized Autoregressive Conditional Heteroscedastic (GARCH) modelling, show positive and significant changes in …
Persistent link: https://www.econbiz.de/10009200911
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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10008855329
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Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes
Matei, Marius - Institutul de Prognoza Economica, Institutul National … - 2010
difficult. As a solution to such problems, I have justified the superiority of one autoregressive heteroskedastic model (PC-GARCH …M) in order to evidentiate advantages of this model. They may be summarized as it follows: PC-GARCH • Minimizes … computational efforts (by transforming multivariate GARCH models into univariate ones), by reducing significantly the computational …
Persistent link: https://www.econbiz.de/10008615494
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Exchange Rate Volatility and Non-Traditional Exports Performance: Zambia, 1965–1999
Musonda, Anthony - Volkswirtschaftliche Fakultät, … - 2008
heteroscedasticity (GARCH) measure of real exchange rate volatility, the findings show that exchange rate volatility depresses exports in …
Persistent link: https://www.econbiz.de/10009004209
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Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - Rheinisch-Westfälisches Institut für … - 2011
. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10009018029
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HIGH PRICE VOLATILITY AND SPILLOVER EFFECTS IN ENERGY MARKETS
Singh, Aaron; Karali, Berna; Ramirez, Octavio A. - Agricultural and Applied Economics Association - AAEA - 2011
Replaced with revised version of paper 07/22/11.
Persistent link: https://www.econbiz.de/10009020960
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Return-Volatility Spillover and Foreign Operations of Dually-Listed Global Firms
Kim, Dongcheol; Kim, Dong-Soon - In: Hitotsubashi Journal of Economics 48 (2007) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10009206620
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Options introduction and volatility in the EU ETS
Chevallier, Julien; Le Pen, Yannick; Sévi, Benoît - Chaire d'Économie du Climat, Université … - 2011
April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous …
Persistent link: https://www.econbiz.de/10009385714