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Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

Testing causality between two vectors in multivariate GARCH models

Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894

Persistent link: https://www.econbiz.de/10011474616

Testing the mixture of distributions hypothesis on target stocks

Carroll, Rachael; Kearney, Colm - In: Journal of international financial markets, … 39 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011475222

Understanding the dynamics of inflation volatility in Nigeria : a GARCH perspective

Omotosho, Babatunde S.; Doguwa, Sani I. - In: CBN journal of applied statistics 3 (2012) 2, pp. 51-74

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a...

Persistent link: https://www.econbiz.de/10011476231

Assessing the CNH-CNY pricing differential : role of fundamentals, contagion and policy

Funke, Michael; Shu, Chang; Cheng, Xiaoqiang; Eraslan, … - In: Journal of international money and finance 59 (2015), pp. 245-262

Persistent link: https://www.econbiz.de/10011478339

The volatility of Romanian exchange rate : a GARCH approach

Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99

Persistent link: https://www.econbiz.de/10011411168

The Saturday effect : an interesting anomaly in the Saudi stock market

Abalala, Turki; Sollis, Robert - In: Applied economics 47 (2015) 58/60, pp. 6317-6330

Persistent link: https://www.econbiz.de/10011411945

How past market movements affect correlation and volatility

Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of international money and finance 50 (2015), pp. 78-107

Persistent link: https://www.econbiz.de/10010465421

Dynamic characteristics of the daily yen-dollar exchange rate

Kurita, Takamitsu - In: Research in international business and finance 30 (2014), pp. 72-82

Persistent link: https://www.econbiz.de/10010390291

The temporal aggregation effect on the predictability of exchange rate volatility

Lee, Keun-yeong - In: The Korean economic review 13 (1997) 1, pp. 103-126

Persistent link: https://www.econbiz.de/10001234810