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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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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 & trade : a journal of the … 47 (2011) 6, pp. 99-119
Persistent link: https://www.econbiz.de/10009563064
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The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-14
This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501248
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Equity return volatility in Africa's stock markets : a dynamic panel approach
Aawaar, Godfred; Logogye, Louis; Domeher, Daniel - In: Cogent economics & finance 11 (2023) 2, pp. 1-22
This study examines the determinants of time-varying return volatility of Africa's equity markets using monthly indices … of eight top African stock markets. The conditional variance is modelled as a proxy for Africa's volatility indices using … the best fitting model among SGARCH, EGARCH and GJR-GARCH. In a bid to account for the dynamic and persistent nature of …
Persistent link: https://www.econbiz.de/10014501255
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Stock market crash and stock return volatility : empirical evidence from Dhaka stock exchange
Islam, K. M. Zahidul; Ahmed, Sayed Farrukh - In: The Bangladesh development studies : the journal of the … 38 (2015) 3, pp. 25-54
Persistent link: https://www.econbiz.de/10011496809
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-GARCH) approach
Marozva, Godfrey - In: The journal of applied business research 33 (2017) 2, pp. 321-328
Persistent link: https://www.econbiz.de/10011673887
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What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis
Min, Hong-ghi; McDonald, Judith Ann; Shin, Sang-Ook - In: Annals of economics and finance 17 (2016) 2, pp. 365-402
Persistent link: https://www.econbiz.de/10011656925
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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