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Volatility Persistence in Crude Oil Markets
Charles, Amélie; Darné, Olivier - HAL - 2012
Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude oil markets - Brent, West Texas Intermediate (WTI) and...
Persistent link: https://www.econbiz.de/10010558719
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The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market
Baklaci, Hasan F.; Tunc, Gokce; Aydogan, Berna; Vardar, … - In: Emerging Markets Finance and Trade 47 (2011) 6, pp. 99-119
Turkish stock market. The GARCH framework is utilized to investigate the impact of firm-specific public news announcements on …
Persistent link: https://www.econbiz.de/10010612800
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Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011988707
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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
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Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
Hillebrand, Eric - EconWPA - 2003
. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …
Persistent link: https://www.econbiz.de/10005119104
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Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison
Jirasakuldech, Benjamas; Campbell, Robert; Emekter, Riza - In: The Journal of Real Estate Finance and Economics 38 (2009) 2, pp. 137-154
We examine the dynamic behavior of Equity Real Estate Investment Trust (EREIT) volatility in a GARCH context 1972 …
Persistent link: https://www.econbiz.de/10005680573
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Measuring volatility persistence and risk in Southern and East African stock markets
Coffie, William - In: International Journal of Economics and Business Research 9 (2015) 1, pp. 23-36
of volatility decay. Generalised autoregressive conditional heteroscedaticity (GARCH) and GARCH-in-mean (GARCH-M) models …
Persistent link: https://www.econbiz.de/10011207784
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Dynamic volatility behaviour of stock markets in southern Africa
Mashamba, Tafirei; Magweva, Rabson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10012019002
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Equity returns and volatilities before and after the 2007-08 financial crisis
Dedi, Lidija; Yavas, Burhan F. - In: Zagreb international review of economics & business 20 (2017) 1, pp. 65-79
Persistent link: https://www.econbiz.de/10011752804
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Examining volatility persistence and news asymmetry in soybeans futures returns
Musunuru, Naveen - In: Atlantic economic journal : AEJ 44 (2016) 4, pp. 487-500
Persistent link: https://www.econbiz.de/10011711158