Search Results - subject:"Conditional Variance"

Empirical analysis of dynamic linkages between China and international stock markets

Chiang, Thomas C.; Chen, Xiaoyu - In: Journal of mathematical finance 6 (2016) 1, pp. 189-212

Persistent link: https://www.econbiz.de/10011543897

A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange

Elenjical, Timmy; Mwangi, Patrick; Panulo, Barry; … - In: Risk management : a journal of risk, crisis and disaster 18 (2016) 2/3, pp. 89-110

Persistent link: https://www.econbiz.de/10011537385

Empirical analysis of dynamic linkages between China and international stock markets

Chiang, Thomas C.; Chen, Xiaoyu - In: Inventi impact: emerging economies (2016) 4, pp. 225-248

Persistent link: https://www.econbiz.de/10011588782

Comovements between Chinese and global stock markets : evidence from aggregate and sectoral data

Chiang, Thomas C.; Lao, LanJun; Xue, Qingfeng - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1003-1042

Persistent link: https://www.econbiz.de/10011595781

House price return volatility patterns in Turkey, Istanbul, Ankara and Izmir

Coskun, Yener; Ertugrul, Hasan Murat - In: Journal of European Real Estate Research 9 (2016) 1, pp. 26-51

uses conditional variance models, namely, ARCH, GARCH and E-GARCH. As the supportive approach for the discussions, we also …

Persistent link: https://www.econbiz.de/10014862750

The Effects of Interest Rate Movements on Assets’ Conditional Second Moments

Palandri, Alessandro - School of Economics and Management, University of Aarhus - 2009

of the 165 conditional variances and 13530 conditional correlations. Keywords: Conditional Variance, Conditional … studies have investigated the link between the conditional variance of fi- nancial returns and exogenous explanatory variables … conditional expectation and the conditional variance of the stochastic discount factor. Through the well established inverse rela …

Persistent link: https://www.econbiz.de/10005037436

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10005115605

On the GCC Currency Union

Razzak, Weshah - Economics and Econometrics Research Institute (EERI) - 2009

(the conditional variance) are equal across countries. …

Persistent link: https://www.econbiz.de/10008567697

Probabilistic Models of Yield, Price, and Revenue Risks for Fed Cattle Production

Belasco, Eric J.; Taylor, Mykel R.; Goodwin, Barry K.; … - In: Journal of Agricultural and Applied Economics 41 (2009) 01

Cattle feeding enterprises operate amid variability originating in prices and production. This research explicitly models yield risks related to cattle feeding by relating the mean and variance of yield performance factors to observable conditioning variables. The results demonstrate that pen...

Persistent link: https://www.econbiz.de/10005469215

On the GCC currency union

Razzak, Weshah A. - 2009

(the conditional variance) are equal across countries. …

Persistent link: https://www.econbiz.de/10011523971