Search Results - subject:"Conditional Volatility"

The impact of China on stock returns and volatility in the Taiwan tourism industry

Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 381-401

This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. Four conditional univariate GARCH models are used...

Persistent link: https://www.econbiz.de/10010931457

Risk analysis of hedge funds : a Markov switching model analysis

Teulon, Frédéric; Guesmi, Khaled; Jebri, Saoussen - In: The journal of applied business research 30 (2014) 1, pp. 243-253

Persistent link: https://www.econbiz.de/10010252063

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …

Persistent link: https://www.econbiz.de/10010237661

The effects of oil price shocks on stock market volatility : evidence from European data

Degiannakis, Stavros; Filis, George; Kizys, Renatas - In: The energy journal 35 (2014) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10010246079

The use of risk and return for testing the stability of stock markets

Chirilă, Viorica; Chirilă, Ciprian - In: Acta Universitatis Danubius / Oeconomica 10 (2014) 2, pp. 182-192

Persistent link: https://www.econbiz.de/10010401352

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage … models; and (3) to present the interpretation of the parameters of the three popular univariate conditional volatility models …

Persistent link: https://www.econbiz.de/10010417180

Volatility and dynamic conditional correlations of worldwide emerging and frontier markets

Baumöhl, Eduard; Lyócsa, Štefan - In: Economic modelling 38 (2014), pp. 175-183

Persistent link: https://www.econbiz.de/10010418125

Dynamic hedging strategy in incomplete market : evidence from Shanghai fuel oil futures market

Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic modelling 40 (2014), pp. 81-90

Persistent link: https://www.econbiz.de/10010425724

Credit risk modeling under conditional volatility

Rohde, Johannes; Sibbertsen, Philipp - 2014

approach with conditional volatility models, we empirically examine in this article that the specification of conditional … that financial market data properties (i.e. asymmetric response of conditional volatility to return shocks and long …-range dependencies within the conditional volatility) may not be neglected within the computation of credit risk. Moreover, the influence …

Persistent link: https://www.econbiz.de/10010344867

Commodities and macroeconomic factors : unconditional volatility measures

Fernández, Viviana - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 87-109

Persistent link: https://www.econbiz.de/10010485804