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Stability analysis of risk index beta for Hong Kong Hang Seng index constituent stocks
Chan, Daniel P. - In: Asian economies (1991), pp. 55-77
Persistent link: https://www.econbiz.de/10001117816
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Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
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Asset inflation in the Netherlands : assessment, economic risks and monetary policy implications
Capel, Jeannette Johanna - In: The role of asset prices in the formulation of monetary …, (pp. 264-279). 1998
Persistent link: https://www.econbiz.de/10001325166
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Stock market index price prediction using predetermined variables : a case study of Malaysia
Munir, Qaiser; Kok Sook Ching - In: Information efficiency and anomalies in Asian equity …, (pp. 49-68). 2017
Persistent link: https://www.econbiz.de/10011928353
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Tests of multiple causality among monetary and fiscal aggregates and stock prices
Talwar, Prem P. - In: Journal of quantitative economics : official journal of … 4 (1988) 1, pp. 83-106
Persistent link: https://www.econbiz.de/10001057086
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How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index
Wang, Jying-Nan; Hsu, Yuan-Teng; Liu, Hung-Chun - In: International journal of economics and financial issues … 4 (2014) 3, pp. 651-656
Persistent link: https://www.econbiz.de/10010526918
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GARCH models, tail indexes and error distributions : an empirical investigation
Šopov, Boril; Horváth, Roman - 2015
We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...
Persistent link: https://www.econbiz.de/10010529886
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A study of the causal relationship between real exchange rate of Renminbi and Hong Kong stock market index
Lee, Wai-choi - In: Modern economy 3 (2012) 5, pp. 563-566
Persistent link: https://www.econbiz.de/10009720541
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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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Estimating stochastic volatility and jumps using high-frequency data and Bayesian methods
Fičura, Milan; Witzany, Jiří - In: Finance a úvěr 66 (2016) 4, pp. 278-301
Persistent link: https://www.econbiz.de/10011532802