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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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High frequency vs. daily resolution: The economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011819006
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An Event Study of Chinese Tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011819518
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Die Bewertung von Aktienanleihen mit Barriere: Eine Fallstudie für die Easy-Aktienanleihe der Deutschen Bank
Hofmann, Maurice; Rottmann, Horst - 2016
SE jeweils mit einem einfachen gewichteten Durchschnitt, exponentiell gewichteten Durchschnitt, GARCH- und T-GARCH … estimation through a simple moving average, an exponentially weighted average, a GARCH-, and a T-GARCH-Model. We find that the …
Persistent link: https://www.econbiz.de/10011431345
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading: Toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies 7 (2019) 3, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10013199583
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Heavy metals: Might as well jump
Wilmot, Neil A. - In: International Journal of Financial Studies 7 (2019) 2, pp. 1-14
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes-or jump-in prices. This suggests that natural resource...
Persistent link: https://www.econbiz.de/10013200211
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No Commonality in Liquidity on Small Emerging Markets? Evidence from the Central and Eastern European Stock Exchanges
Olbryś, Joanna - In: Comparative Economic Research. Central and Eastern Europe 23 (2020) 3, pp. 91-109
estimator. The OLS regression with the HAC covariance matrix estimation and the GARCH-type models are employed toexplore the …
Persistent link: https://www.econbiz.de/10013204642
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Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH
Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20
markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance … models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across …
Persistent link: https://www.econbiz.de/10012611007