Search Results - subject:"Conditional volatility"

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011897499

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Facultad de Ciencias Económicas y Empresariales, … - 2012

This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...

Persistent link: https://www.econbiz.de/10010778713

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Faculteit der Economische Wetenschappen, Erasmus … - 2012

Persistent link: https://www.econbiz.de/10010837979

Modelling Long Memory Volatility in Agricultural Commodity Futures Return

McAleer, Michael; Chang, Chia-Lin; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2012

Persistent link: https://www.econbiz.de/10010545927

Financial instability, integration and volatility of emerging South Asian stock markets

Kumar, Rakesh; Dhankar, Raj S. - In: South Asian Journal of Business Studies 6 (2017) 2, pp. 177-190

Purpose The purpose of this paper is to examine the short- and long-run spillover effect of international financial instability on emerging South Asian stock markets. The paper also investigates the financial integration regionally. Design/methodology/approach Granger causality test is used for...

Persistent link: https://www.econbiz.de/10015005694

Herd behavior in the French stock market

Litimi, Houda - In: Review of Accounting and Finance 16 (2017) 4, pp. 497-515

idiosyncratic conditional volatility at a sectoral level. Design/methodology/approach This sample covers all the listed companies in … uses a modified GARCH model to investigate the effect of herding on conditional volatility. Findings Herding is present in … inhibiting effect on market conditional volatility. Originality/value The author modifies the CSAD model to investigate the …

Persistent link: https://www.econbiz.de/10014989975

Modeling conditional volatility of Indian banking sector's stock market returns

Amanjot Singh - In: Scientific Annals of Economics and Business 64 (2017) 3, pp. 325-338

Persistent link: https://www.econbiz.de/10011866029

Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

How does electronic trading affect efficiency of stock market and conditional volatility? : evidence from Toronto Stock Exchange

Dutta, Shantanu; Essaddam, Naceur; Kumar, Vinod; Saadi, … - In: Research in international business and finance 39 (2017), pp. 867-877

Persistent link: https://www.econbiz.de/10011912398

The implication of banking competition : evidence from African countries

Kouki, Imen; Al-Nasser, Amjad D. - In: Research in international business and finance 39 (2017), pp. 878-895

Persistent link: https://www.econbiz.de/10011912403