Search Results - subject:"Conditional Variance"

A correcting note on forecasting conditional variance using ARIMA vs. GARCH model

Azimi, Mohammad Naim; Shahidzada, Seyed Farhad - In: International journal of economics and finance 11 (2019) 5, pp. 145-152

Persistent link: https://www.econbiz.de/10012012282

A Threshold Cointegration Analysis of Asymmetric Adjustment of OPEC and non-OPEC Monthly Crude Oil Prices

Ghassan, Hassan B.; Banerjee, Prashanta K. - Volkswirtschaftliche Fakultät, … - 2013

The purpose of this paper is to analyze the dynamics of crude oil prices of OPEC and non-OPEC countries using threshold cointegration. To capture the long run asymmetric price transmission mechanism, we develop an error correction model within a threshold cointegration and CGARCH errors...

Persistent link: https://www.econbiz.de/10011170146

South African Sector Return Correlations: using DCC and ADCC Multivariate GARCH techniques to uncover the underlying dynamics.

Katzke, Nico - Department of Economics, Fakulteit Ekonomiese en … - 2013

Heteroskedasticity (MV-GARCH) techniques to isolate the time-varying conditional correlations from the conditional variance component …

Persistent link: https://www.econbiz.de/10010834060

Inflation and Inflation Uncertainty: Evidence from Turkey, 1923–2012

dogru, bulent - Volkswirtschaftliche Fakultät, … - 2013

In this study, relationship between inflation and inflation uncertainty is analyzed using Granger causality tests with annual inflation series covering the time period 1923 to 2012 for Turkish Economy. Inflation uncertainty is measured by Exponential Generalized Autoregressive Conditional...

Persistent link: https://www.econbiz.de/10011257692

ASSESSING THE PRICE RISK ON THE ROMANIAN AGRICULTURAL MARKET: ANALYSES AND IMPLICATIONS

POP, Larisa Nicoleta; ROVINARU, Flavius; ROVINARU, Mihaela - In: Interdisciplinary Management Research 9 (2013), pp. 469-479

models and comparing the estimated conditional variance, the paper will aim at drawing some implications and recommendations …

Persistent link: https://www.econbiz.de/10010717517

Fundamentals and the volatility of real estate prices in China : a sequential modelling strategy

Deng, Yongheng; Girardin, Eric; Joyeux, Roselyne - In: China economic review : an international journal 48 (2018), pp. 205-222

Persistent link: https://www.econbiz.de/10012008079

The response of oil market to US monetary policy surprises

Chebbi, Tarek - In: International journal of economic policy in emerging … 11 (2018) 1/2, pp. 159-168

Persistent link: https://www.econbiz.de/10011861049

Efficient pricing and super-replication of corridor variance swaps and related products

Burgard, Christoph; Torné, Olaf - In: The journal of computational finance 21 (2017/2018) 4, pp. 79-96

Persistent link: https://www.econbiz.de/10011848417

Modelling and forecasting volatility of the Botswana and Namibia stock market returns : evidence using GARCH models with different distribution densities

Coffie, William - In: Global business & economics review 20 (2018) 1, pp. 18-35

Persistent link: https://www.econbiz.de/10011953628

No linealidad y asimetría en el proceso generador del Índice IBEX35

Belda, Paz Rico - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2012

model allows a nonlinear behavior in the conditional mean and in the conditional variance. The empirical results show that … the Ibex35 follows a nonlinear and asymmetric process, both in the conditional mean as in the conditional variance, so the …

Persistent link: https://www.econbiz.de/10010615142