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Modelling Australian stock market volatility : a multivariate GARCH approach

Karunanayake, Indika; Valadkhani, Abbas; O'Brien, Martin - 2009

Persistent link: https://www.econbiz.de/10008667249

[Rezension von: Financial volatility and real economic activity]

Tatom, John A. - In: Journal of economic literature 39 (2001) 3, pp. 917-918

Persistent link: https://www.econbiz.de/10001611882

Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification

Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 108 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013203257

Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

Forecasting stock volatility using after-hour information : evidence from the Australian Stock Exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 52 (2016), pp. 592-608

Persistent link: https://www.econbiz.de/10011642932

Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market

Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011842038

Volatility spillover between the US, Chinese and Australian stock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Chi, Wei; … - In: Australian journal of management 43 (2018) 2, pp. 263-285

Persistent link: https://www.econbiz.de/10011890710

Volatility spillovers from Australia's major trading partners across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: International review of economics & finance : IREF 47 (2017), pp. 159-175

Persistent link: https://www.econbiz.de/10011740133

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

recommended model building approach. The modelling cycle is illustrated using daily return series for Australia's four largest …

Persistent link: https://www.econbiz.de/10014281494

Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency … research is to analyze the influence of COVID-19 on the return and volatility of the stock market indices of the top 10 … volatility remains higher than in normal periods, signaling a bearish tendency in the market. The COVID variable, as an exogenous …

Persistent link: https://www.econbiz.de/10012384430