Search Results - subject:"Conditional Variance"

Measuring volatility persistence and risk in Southern and East African stock markets

Coffie, William - In: International Journal of Economics and Business Research 9 (2015) 1, pp. 23-36

This paper investigates volatility persistence in Southern and East African stock markets taking into account the rate of volatility decay. Generalised autoregressive conditional heteroscedaticity (GARCH) and GARCH-in-mean (GARCH-M) models are used to estimate volatility persistence and risk...

Persistent link: https://www.econbiz.de/10011207784

Volatility and efficiency of the world crude oil market

Al Fawzan, Fawzan Abdul Aziz - In: Journal of Economic and Administrative Sciences 31 (2015) 1, pp. 20-29

presence of asymmetric effects, and the conditional variance process was found to be highly persistent. Originality …

Persistent link: https://www.econbiz.de/10014857777

Forecasting stock index volatility with GARCH models: international evidence

Sharma, Prateek; _, Vipul - In: Studies in Economics and Finance 32 (2015) 4, pp. 445-463

Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models … paper forecasts one-step-ahead conditional variance with each forecasting model, for the period 1 January 2000 to 30 … model outperforms the more advanced GARCH models, and provides the best one-step-ahead forecasts of the daily conditional …

Persistent link: https://www.econbiz.de/10015014210

Forecasting stock index volatility with GARCH models : international evidence

Sharma, Prateek; Vipul - In: Studies in economics and finance 32 (2015) 4, pp. 445-463

Persistent link: https://www.econbiz.de/10011492253

A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices

Ghassan, Hassan B.; Banerjee, Prashanta K. - In: Empirical economics : a journal of the Institute for … 49 (2015) 1, pp. 305-323

Persistent link: https://www.econbiz.de/10011325705

Measuring volatility persistence and risk in Southern and East African stock markets

Coffie, William - In: International journal of economics and business research 9 (2015) 1, pp. 23-36

Persistent link: https://www.econbiz.de/10011332918

Daily volume, intraday and overnight returns for volatility prediction : profitability or accuracy?

Fuertes, Ana María; Kalotychou, Elena; Todorovic, Natasa - In: Review of quantitative finance and accounting 45 (2015) 2, pp. 251-278

Persistent link: https://www.econbiz.de/10011333120

Coherent chaos interest-rate models

Brody, Dorje C.; Hadjipetri, Stala - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011403746

A martingale-transform goodness-of-fit test for the form of the conditional variance

Dette, Holger; Hetzler, Benjamin - 2008

In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler (2008) proposed a test statistic, which is based on an empirical process of pseudo residuals. The process converges weakly to a...

Persistent link: https://www.econbiz.de/10010300657

Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates

Cserna, Balázs - 2008

provide empirical distributions for parameter tests depending on the elasticity of conditional variance. Using three-month U …

Persistent link: https://www.econbiz.de/10011422171