Search Results - subject:"Conditional volatility"

Modelling volatility of BSE Realty Index using conditional heteroscedasticity models

Kadanda, Dhananjaya; Krishna Raj - In: Manthan : journal of commerce and management 4 (2017) 2, pp. 13-28

Persistent link: https://www.econbiz.de/10011875837

Volatility measures as predictors of extreme returns

Switzer, Lorne N.; Tahaoglu, Cagdas; Zhao, Yun Selina - In: Review of financial economics : RFE 35 (2017), pp. 1-10

Persistent link: https://www.econbiz.de/10011959385

Dynamic Portfolio Construction and Portfolio Risk Measurement

Mazibas, Murat - 2011

this chapter, further evidence on the use of multivariate conditional volatility models in hedge fund risk measurement and … regime switching conditional volatility model is combined with a robust measure of volatility based on intraday range, in a … volatility forecasting is searched for by employing regime switching in a conditional volatility setting with enhanced …

Persistent link: https://www.econbiz.de/10009440952

Fractional integration and the volatility of UK interest rates

Coleman, Simeon; Sirichand, Kavita - Nottingham Trent University, Nottingham Business … - 2011

compared to longer rates. Further, differences in conditional volatility exist between rates of different maturities. We posit …

Persistent link: https://www.econbiz.de/10010726391

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chang, Chia-Lin; McAleer, Michael; Lim, Lim, C.H. - Faculteit der Economische Wetenschappen, Erasmus … - 2011

use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the …

Persistent link: https://www.econbiz.de/10010732628

IMPACT OF CRUDE OIL PRICE VOLATILITY ON WORLD EQUITY MARKETS BEHARVIUR

KUMAR, Rakesh; TAMIMI, Mohammad - In: Journal of Applied Research in Finance Bi-Annually III (2011) 2, pp. 236-248

conditional volatility of crude oil price expressed in dollar, thereafter in the second stage, the estimated conditional … volatility of crude oil price is used as independent regressor to estimate the conditional volatility of world equity markets in …

Persistent link: https://www.econbiz.de/10010742138

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Facultad de Ciencias Económicas y Empresariales, … - 2011

use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the …

Persistent link: https://www.econbiz.de/10009194559

Value at Risk forecasting with the ARMA-GARCH family of models in times of increased volatility

Rippel, Milan; Jánský, Ivo - Institut ekonomických studií, Univerzita Karlova v Praze - 2011

The paper evaluates several hundred one-day-ahead VaR forecasting models in the time period between the years 2004 and 2009 on data from six world stock indices - DJI, GSPC, IXIC, FTSE, GDAXI and N225. The models model mean using the ARMA processes with up to two lags and variance with one of...

Persistent link: https://www.econbiz.de/10009216657

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

McAleer, Michael; Chang, Chia-Lin; Lim, Christine - Institute of Economic Research, Kyoto University - 2011

use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the …

Persistent link: https://www.econbiz.de/10009222412

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Facultad de Ciencias Económicas y Empresariales, … - 2011

use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the …

Persistent link: https://www.econbiz.de/10009291888