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Chinese outbound tourism demand to Singapore, Malaysia and Thailand destinations : a study of political events and holiday impacts

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The impact of extreme events on portfolio in financial risk management

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Construction and backtesting of a multi-factor stress-scenario for the stock market

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A survey of recent theoretical results for time series models with GARCH errors

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Asset pricing with observable stochastic discount factors

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Financial industry and oil price volatility : an analysis on Central and Eastern Europe

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the financial industry, as well as Brent crude oil prices, to estimate a two-stage GARCH (1,1) to capture the effects of … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …

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Financial integration : the Tunisian context

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ARCH models and an application on exchange rate volatility : ARCH and GARCH models

Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021

by nonlinear methods. This chapter discusses the GARCH models (GARCH, GJR, EGARCH), which are nonlinear models, and tests … indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. …

Persistent link: https://www.econbiz.de/10012604258