Search Results - subject:"APGARCH"

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COVID-19's disasters are perilous than Global Financial Crisis : a rumor or fact?

Shehzad, Khurram; Liu, Xiaoxing; Kazouz, Hayfa - In: Finance research letters 36 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012484184

The role of news in the fluctuations of housing price

Dahmardeh, Nazar; Khaki, Reza; Esfandiari, Marziyeh - In: Investment management and financial innovations 15 (2018) 3, pp. 294-303

Persistent link: https://www.econbiz.de/10012055563

Alternative Approaches for Estimating Value at Risk

Ural, Mert - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 63-86

In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting...

Persistent link: https://www.econbiz.de/10008464850

Emerging market demand and the changing dynamics of the price of gold

Zhang, Yiling; Rakowski, David - In: International journal of economics and finance 7 (2015) 7, pp. 56-63

Persistent link: https://www.econbiz.de/10011333450

Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test

Bildirici, Melike; Oktay, Sadiye - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2009

In this study, volatility of sock return behavior through a regime-Switching Asymmetric Power GARCH Model (RS-APGARCH …

Persistent link: https://www.econbiz.de/10004965529

On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity

Siu, Tak; Lau, John; Yang, Hailiang - In: Asia-Pacific Financial Markets 14 (2007) 3, pp. 255-275

Persistent link: https://www.econbiz.de/10005547717

Time-Scale Decomposition of Price Transmission in International Markets

FERNANDEZ, VIVIANA - In: Emerging Markets Finance and Trade 41 (2005) 4, pp. 57-90

This paper focuses on return spillovers in stock markets at different time scales using wavelet analysis. We look at eight stock indices that comprise the G7 countries, emerging Asia, Western Europe, Eastern Europe and the Middle East, the emerging Far East, Latin America, North America, and the...

Persistent link: https://www.econbiz.de/10005543935