Search Results - subject:"Conditional Variance"

True or spurious long memory in European non-EMU currencies

Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230

Persistent link: https://www.econbiz.de/10011912762

Individual mean-variance relation and stock-level investor sentiment

Kim, Jun Sik; Kim, Da-Hea; Seo, Sung Won - In: Journal of business economics and management 18 (2017) 1, pp. 20-34

Persistent link: https://www.econbiz.de/10011721640

Intertemporal risk-return relationship in BRIC equity markets after the US financial crisis

Amanjot Singh; Manjit Singh - In: International journal of law and management : IJLMA 25 (2017) 4, pp. 547-570

Persistent link: https://www.econbiz.de/10011776267

Bond market integration in East Asia : multivariate GARCH with dynamic conditional correlations approach

Tsukuda, Yoshihiko; Shimada, Junji; Miyakoshi, Tatsuyoshi - In: International review of economics & finance : IREF 51 (2017), pp. 193-213

Persistent link: https://www.econbiz.de/10011754150

Semiparametric estimation of risk-return relationships

Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10011704099

Monitoring the disparity of teaching and learning process variability : a statistical approach

Djauhari, Maman A.; Revathi Sagadavan; Lee, Siaw Li - In: International journal of productivity and quality … 21 (2017) 4, pp. 532-547

Persistent link: https://www.econbiz.de/10011816886

Study of BRICS stock return volatility during and after subprime crisis

Kishor, Nawal; Singh, Raman Preet - In: International journal of business and globalisation : IJBG 18 (2017) 2, pp. 233-250

Persistent link: https://www.econbiz.de/10011800038

Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach

Brunhart, Andreas - 2011

augmented GARCH-model to analyse the dynamical pattern and other influences on the risk measured by the conditional variance of …

Persistent link: https://www.econbiz.de/10010281963

The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach

Dimitriou, Dimitrios; Simos, Theodore - Volkswirtschaftliche Fakultät, … - 2011

returns and volatility for most of the markets. However, using a flexible semi-parametric specification for the conditional … variance, we unravel significant evidence of a negative relationship in almost all markets. Furthermore, we investigate a …

Persistent link: https://www.econbiz.de/10011259141

Analysis of GARCH Modeling in Financial Markets: An Approach Based on Technical Analysis Strategies

Gherman, Mircea Cristian - In: Acta Universitatis Danubius. OEconomica (2011) 4(4), pp. 158-171

In this paper we performed an analysis in order the make an evidence of GARCH modeling on the performances of trading rules applied for a stock market index. Our study relays on the overlap between econometrical modeling, technical analysis and a simulation computing technique. The nonlinear...

Persistent link: https://www.econbiz.de/10010553461