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An empirical characterization of volatility dynamics in the DAX

Virla, Leonardo Quero - 2021

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

Persistent link: https://www.econbiz.de/10012629944

Scaling by the square-root-of-time rule : an empirical investigation using five market indexes

Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80

Persistent link: https://www.econbiz.de/10013177083

Strategic asset allocation and Markov Regime Switch with GARCH

Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10009776452

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

Persistent link: https://www.econbiz.de/10013262866

Monetary policy uncertainty and jumps in advanced equity markets

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112

Persistent link: https://www.econbiz.de/10012500112

Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market

Kashyap, Suresh; Kashyap, Sachin - In: International journal of business innovation and … 22 (2020) 4, pp. 488-505

Persistent link: https://www.econbiz.de/10012270943

Mathematical models for the assessment of collapse in oil prices

Shera, Muhammad; Preda, Vasile - 2018

Persistent link: https://www.econbiz.de/10012302306

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161

Persistent link: https://www.econbiz.de/10011644073

Renewable versus nonrenewable resources : an analysis of volatility in futures prices

Gevorkyan, Arkady - In: The Australian journal of agricultural and resource … 61 (2017) 1, pp. 19-35

Persistent link: https://www.econbiz.de/10011674273