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Estimating and forecasting volatility of financial markets using asymmetric GARCH models : an application on Turkish financial markets

Gökbulut, Rasim lker; Pekkaya, Mehmet - In: International journal of economics and finance 6 (2014) 4, pp. 23-35

Persistent link: https://www.econbiz.de/10010347758

The fundamental equation in tourism finance

McAleer, Michael - In: Journal of risk and financial management : JRFM 8 (2015) 4, pp. 369-374

The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...

Persistent link: https://www.econbiz.de/10011545065

Empirical regularities of financial market volatility and good modelling process : developing countries' exchange rate markets perspective

Osei-Assibey, Kwame - In: International economic journal 29 (2015) 4, pp. 547-570

Persistent link: https://www.econbiz.de/10011548760

Financial transaction taxes : announcement effects, short-run effects, and long-run effects

Eichfelder, Sebastian; Lau, Mona - 2016 - Version: October 2016

liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment … effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility … but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on …

Persistent link: https://www.econbiz.de/10011550386

Modelling the impact of global financial crisis on the Indian stock market through GARCH models

Mathur, Shreya; Chotia, Varun; Rao, N. V. Muralidhar - In: Asia-Pacific journal of management research and … 12 (2016) 1, pp. 11-22

Persistent link: https://www.econbiz.de/10011559376

Cross-border sentiment : an empirical analysis on EU stock markets

Bai, Ye - In: Applied financial economics 24 (2014) 4/6, pp. 259-290

Persistent link: https://www.econbiz.de/10010399454

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529

Market volatility transmission and central banking : what happened during the subprime crisis?

Bensafta, Kamel Malik; Semedo, Gervasio - In: International economic journal 28 (2014) 4, pp. 559-588

Persistent link: https://www.econbiz.de/10010504200

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

Persistent link: https://www.econbiz.de/10010509638

Does the clarity of inflation reports affect volatility in financial markets?

Bulíř, Aleš; Čihák, Martin; Jansen, David-Jan - 2014

Persistent link: https://www.econbiz.de/10010408953