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Volatility and co-movements of the equity markets in Central Europe: Evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and Environmental Studies (E&ES) 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011984362
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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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Forecasting volatility: Evidence from the Saudi stock market
Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18
autoregressive conditional heteroskedasticity (GARCH)-class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …
Persistent link: https://www.econbiz.de/10012611046
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Volatility Spillover in India, USA and Japan Investigation of Recession Effects
Sinha, Pankaj; Sinha, Gyanesh - Volkswirtschaftliche Fakultät, … - 2010
the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10008543770
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Volatility and co-movements of the equity markets in Central Europe : evidence from Poland and Hungary
Chmielewska, Anna - In: Economic and environmental studies : a journal for … 18 (2018) 2, pp. 499-513
positive signal for future system stability, it also evidences that the widely used GARCH and DCC specifications turn to be …
Persistent link: https://www.econbiz.de/10011874650
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Forecasting volatility : evidence from the Saudi stock market
Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18
autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …
Persistent link: https://www.econbiz.de/10011960525
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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/10011597965
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Short Sales Constraints and Financial Stability: Evidence from the Spanish 2011 Ban
Arce, Óscar; Mayordomo, Sergio - School of Economics and Business Administration, … - 2012
contagion effect coming from the sovereign risk, the ban helped stabilise the probability of default of medium-sized banks, an …
Persistent link: https://www.econbiz.de/10010599200
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The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
Arghyrou, Michael G.; Kontonikas, Alexandros - Department of Economics, Adam Smith Business School - 2010
experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …
Persistent link: https://www.econbiz.de/10008678561
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The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
Arghyrou, Michael; Kontonikas, Alexandros - Economics Section, Cardiff Business School - 2010
experienced contagion from Greece. There is no evidence of significant speculation effects originating from CDS markets. Finally …
Persistent link: https://www.econbiz.de/10008680817