Search Results - subject:"Conditional volatility" - EconBiz

The linkage between international dairy commodity prices and volatility : a panel-GARCH analysis

Rezitis, Anthony N.; Tremma, Ourania A. - In: Journal of agribusiness in developing and emerging … 13 (2023) 5, pp. 685-705

Persistent link: https://www.econbiz.de/10014450183

Modeling persistent interest rates with volatility-induced stationarity

Hansen, Anne Lundgaard - 2019

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

Persistent link: https://www.econbiz.de/10012388881

Do Islamic stock indexes outperform conventional stock indexes? A state space modeling approach

Ben Rejeb, Aymen; Arfaoui, Mongi - In: European Journal of Management and Business Economics … 28 (2019) 3, pp. 301-322

Purpose The purpose of this paper is to investigate whether Islamic stock indexes outperform conventional stock indexes, in terms of informational efficiency and risk, during the recent financial instability period. Design/methodology/approach The paper uses a state space model combined with a...

Persistent link: https://www.econbiz.de/10013193220

Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo

Burda, Martin; Belisle, Louis - 2019

Persistent link: https://www.econbiz.de/10011999786

Examining dynamic interdependencies among major global financial markets

Sehgal, Sanjay; Saini, Sakshi; Deisting, Florent - In: Multinational finance journal 23 (2019) 1/2, pp. 103-039

Persistent link: https://www.econbiz.de/10012547812

Electronic trading effects on the efficiency and conditional volatility of the Brazilian stock market

Maciel, Leandro; Ballini, Rosangela - In: Revista Brasileira de Finanças : RBFin 17 (2019) 1, pp. 80-99

Persistent link: https://www.econbiz.de/10012210685

Modeling persistent interest rates with volatility-induced stationarity

Hansen, Anne Lundgaard - 2019

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

Persistent link: https://www.econbiz.de/10012111254

Modeling stock market return volatility in the presence of structural breaks : evidence from Nairobi Securities Exchange, Kenya

Ndei, Caroline Michere; Muchina, Stephen; Waweru, Kennedy - 2019

Persistent link: https://www.econbiz.de/10012146102

Do Islamic stock indexes outperform conventional stock indexes? : a state space modeling approach

Ben Rejeb, Aymen; Arfaoui, Mongi - In: European journal of management and business economics : … 28 (2019) 3, pp. 301-322

Purpose The purpose of this paper is to investigate whether Islamic stock indexes outperform conventional stock indexes, in terms of informational efficiency and risk, during the recent financial instability period. Design/methodology/approach The paper uses a state space model combined with a...

Persistent link: https://www.econbiz.de/10012118155

Sustainability of basket peg choices in the post-COVID-19 era : new evidence from Morocco & Tunisia

Bouhali, Hamza; Dahbani, Ahmed; Dinar, Brahim - In: Macroeconomics and finance in emerging market economies 15 (2022) 1, pp. 66-85

Persistent link: https://www.econbiz.de/10012821102

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