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Time-varying variance scaling : application of the fractionally integrated ARMA model

Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10012117796

Fitting the Nigeria stock market return series using GARCH models

Usman, U.; Auwal, H. M.; Abdulmuhyi, M. A. - In: Theoretical economics letters 7 (2017) 7, pp. 2159-2176

Persistent link: https://www.econbiz.de/10011785913

Long memory model : BIST 100 index

Terzioğlu, M. Kenan - In: Current issues in finance, economy and politics : …, (pp. 301-309). 2019

Persistent link: https://www.econbiz.de/10012253158

Modelling volatile time series with v-transforms and copulas

McNeil, Alexander J. - In: Risks : open access journal 9 (2021) 1/14, pp. 1-26

time series and quantiles of the distribution of a predictable volatility proxy variable. They can be represented as … processes for the dynamics of the volatility proxy. The idea is illustrated using a Gaussian ARMA copula process and the …

Persistent link: https://www.econbiz.de/10012422995

Volatility and calendar anomaly through GARCH model : evidence from the selected G20 stock exchanges

Mishra, Shraddha - In: International journal of business and globalisation : IJBG 19 (2017) 1, pp. 126-144

Persistent link: https://www.econbiz.de/10011847647

Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach

Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243

Persistent link: https://www.econbiz.de/10011865998

Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data

Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290

Persistent link: https://www.econbiz.de/10011348408

Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market

Karunanayake, Indika - In: Review of applied economics 10 (2014) 1/2, pp. 83-97

Persistent link: https://www.econbiz.de/10010506487

Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market

Karunanayake, Indika - In: Journal of international economic review 9 (2016) 2, pp. 225-239

Persistent link: https://www.econbiz.de/10011673059

Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru

Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10011924649

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