Similar Search Results

Risk-reward trade-off and volatility performance of Islamic versus conventional stock indices : global evidence

Abu-Alkheil, Ahmad M.; Khan, Walayet A.; Parikh, Bhavik - In: Review of Pacific Basin financial markets and policies 23 (2020) 1, pp. 2050002-1-2050002-29

Persistent link: https://www.econbiz.de/10012299655

The day of the week effecton returns, volatility and volume of Shariah index

Munusany, Dharani - In: The empirical economics letters : a monthly … 15 (2016) 6, pp. 608-618

Persistent link: https://www.econbiz.de/10011655904

Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)

Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176

Persistent link: https://www.econbiz.de/10011665786

GARCH models, tail indexes and error distributions : an empirical investigation

Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15

Persistent link: https://www.econbiz.de/10011672845

Value-at-risk for South-East Asian stock markets : stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Nguyen Nam Hai; Walther, … - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility … 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/10011855291

Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index

Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187

Persistent link: https://www.econbiz.de/10011888169

Reasonable evaluation of VIX options for the Taiwan stock index

Huang, Hung-Hsi; Lin, Shin-Hung; Wang, Chiu-Ping - In: The North American journal of economics and finance : a … 48 (2019), pp. 111-130

Persistent link: https://www.econbiz.de/10012120217

Forecasting the Jordanian stock index : modelling asymmetric volatility and distribution effects within a GARCH framework

Al-Hajieh, Heitham; Al-Nemer, Hashem Abdullah; Rodgers, … - In: Copernican Journal of Finance & Accounting : CJF&A 4 (2015) 2, pp. 9-25

Persistent link: https://www.econbiz.de/10012216276

Cross hedging effectiveness of S&P500 and NIKKEI225 futures to the Philippine Stock Exchange Composite Index

Maghirang, Paul Kenneth - In: Journal of international trade & commerce 12 (2016) 4, pp. 223-236

Persistent link: https://www.econbiz.de/10011796320

On forecasting Taiwanese stock index option prices : the role of implied volatility index

Wang, Jying-Nan; Liu, Hung-Chun; Chen, Lu-Jui - In: International journal of economics and finance 9 (2017) 9, pp. 133-136

Persistent link: https://www.econbiz.de/10011762731