Similar Search Results

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

Measuring Asian Stock Market integration by using orthogonal generalized autoregressive conditional heteroscedasticity

Muharam, Harjum; Robiyanto, Robiyanto; Pangestuti, … - In: Montenegrin journal of economics 16 (2020) 1, pp. 121-137

Persistent link: https://www.econbiz.de/10012264837

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

GARCH models, tail indexes and error distributions : an empirical investigation

Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011672845

Assessment of volatility using exponential generalized autoregressive conditional heteroscedastic model in BSE stock market

Kundu, Amit - In: The Indian journal of economics 97 (2017) 387, pp. 589-605

Persistent link: https://www.econbiz.de/10011991586

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...

Persistent link: https://www.econbiz.de/10012023869

Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models

Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17

Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the …

Persistent link: https://www.econbiz.de/10012137016

Does the Indian stock market exhibit random walk?

Dsouza, Janet Jyothi; Mallikarjunappa, T. - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011761334

Macroeconomic fundamental and stock price index in Southeast Asia countries a comparative study

Wahyudi, Sugeng; Hersugondo; Laksana, Rio Dhani; Rudy, R. - In: International journal of economics and financial issues … 7 (2017) 2, pp. 182-187

Persistent link: https://www.econbiz.de/10011786565

Beta-adjusted covariance estimation

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

Persistent link: https://www.econbiz.de/10012432948