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The impact of oil prices on sectoral equity returns : evidence from UK and US stock market data

Falzon, Joseph; Castillo, Daniel - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 247-268

Persistent link: https://www.econbiz.de/10011949614

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects …

Persistent link: https://www.econbiz.de/10011471089

Reserve options mechanism : the new monetary policy tool of CBRT and its effect on exchange rate volatility

Gok, Ibrahim Yasar - In: International journal of business and economic sciences … 9 (2016) 3, pp. 50-54

volatility are analyzed by applying GARCH (1,1) model and using the data for the period 09.30.2011- 06.03.2016. Findings – It is …

Persistent link: https://www.econbiz.de/10011593647

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106

-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the … distribution instead of GARCH improves the performance of the bias-correction method in forecasting the VaR for almost all …

Persistent link: https://www.econbiz.de/10011632622

Impact of foreign and domestic investment in stock market volatility: empirical evidence from India

Chhimwal, Bhaskar; Bapat, Varadraj - In: Cogent economics & finance 8 (2020) 1, pp. 1-14

Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market. But this kind of trading behavior has a different impact on the different market segments....

Persistent link: https://www.econbiz.de/10012214705

Volatility modelling for tourism sector stocks in Borsa Istanbul

Celik, Gulsah Gencer - In: International journal of economics and financial issues … 10 (2020) 3, pp. 158-165

Persistent link: https://www.econbiz.de/10012215271

Analyzing the impact of demonetization on the Indian stock market : sectoral evidence using GARCH model

Anoop, Patil; Parab, Narayan; Reddy, Y. V. - In: Australasian accounting business and finance journal : AABF 12 (2018) 2, pp. 104-116

Persistent link: https://www.econbiz.de/10011921885

Exchange rate exposure revisited in Malaysia : a tale of two measures

Jaratin Lily; Imbarine Bujang; Abdul Aziz Karia; Mori Kogid - In: Eurasian business review 8 (2018) 4, pp. 409-435

Persistent link: https://www.econbiz.de/10011925013

The optimal wheat futures hedge at the euronext paris from a farmer's perspective

Vollmer, Teresa; Cramon-Taubadel, Stephan von - In: German journal of agricultural economics : GJAE 69 (2020) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10012201913

Influence of stock return volatility on corporate leverage : evidence from an emerging economy

Chaudhary, Pankaj - In: Global business & economics review 30 (2024) 3, pp. 329-347

Persistent link: https://www.econbiz.de/10015060875