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  • Search: subject:"EGARCH Model"
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Year of publication
Subject
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EGARCH model 12 ARCH model 11 Volatilität 11 ARCH-Modell 10 Volatility 10 Börsenkurs 9 Share price 9 Capital income 7 Kapitaleinkommen 7 EGARCH Model 6 Time series analysis 5 Zeitreihenanalyse 5 Aktienmarkt 4 Coronavirus 4 GARCH model 4 Impact assessment 4 Stock market 4 Wirkungsanalyse 4 volatility 4 COVID-19 Pandemic 3 Contagion 3 Epidemic 3 Epidemie 3 Financial market 3 Finanzmarkt 3 Global Financial Crisis 3 Spillover-Effekt 3 Virtual currency 3 Virtuelle Währung 3 ARIMA-EGARCH model 2 Aktienindex 2 Ansteckungseffekt 2 Asymmetric Volatility Spillover 2 Cointegration 2 Contagion effect 2 DCC - EGARCH model 2 Estimation theory 2 Exchange rate 2 Financial crisis 2 Finanzkrise 2
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Online availability
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Free 31 CC license 8
Type of publication
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Article 25 Book / Working Paper 6
Type of publication (narrower categories)
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Article in journal 14 Aufsatz in Zeitschrift 14 Article 7 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
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Language
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English 24 Undetermined 7
Author
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Friday, H. S. 2 Gerlach, Richard 2 Ibrahim, P. 2 Ilesanmi, Kehinde Damilola 2 Irfan, Muhammad 2 Lee, Wcw 2 Metsileng, Lebotsa Daniel 2 Nawazish, Sarah 2 Nene, Shelter Thelile 2 Olbrys, Joanna 2 Rehman, Mubeen Abdur 2 Sekati, Boitumelo Nnoi Yolanda 2 Sekome, Mashapa 2 Srinivasan, P. 2 Tsoku, Johannes Tshepiso 2 Yu, Hao 2 Abdulkadir, Ahmed 1 Adubisi, Chidi Emmanuel 1 Adubisi, Obinna Damian 1 Ahmad, Eatzaz 1 Alexandri, Mohammad Benny 1 Ampountolas, Apostolos 1 Asutay, Mehmet 1 Avdukic, Alija 1 Aye, Goodness C. 1 Baba, Naohiko 1 Bastan, Meltem 1 Celik, Gulsah Gencer 1 Chadwick, Meltem 1 Chanapol Pornpikul 1 Chen, Cathy W.S 1 Chen, Cathy WS 1 Güler, Derya 1 Hoekstra, Jesse 1 Javid, Attiya Y. 1 Khallouli, Wajih 1 Lai, Hung-Cheng 1 Lin, Edward M.H. 1 Lin, Edward MH 1 Loc Dong Truong 1
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Institution
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Business School, University of Sydney 2 Bank for International Settlements (BIS) 1 HAL 1 Society for Computational Economics - SCE 1
Published in...
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Cogent Economics & Finance 2 Cogent economics & finance 2 International Journal of Financial Studies : open access journal 2 Working Papers / Business School, University of Sydney 2 Asia Pacific financial markets 1 BIS Working Papers 1 Central Bank Review (CBR) 1 Computing in Economics and Finance 2006 1 Dynamic Econometric Models 1 ERSA working paper 1 Economies 1 Economies : open access journal 1 Financial innovation : FIN 1 International Journal of Business and Economic Sciences Applied Research (IJBESAR) 1 International Journal of Economic Sciences and Applied Research 1 International Journal of Energy Economics and Policy : IJEEP 1 International Journal of Financial Studies 1 International journal of economics and financial issues : IJEFI 1 Iranian economic review : journal of University of Tehran 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Panoeconomicus 1 Post-Print / HAL 1 Quantitative finance and economics 1 Southeast Asian journal of economics 1 The Pakistan Development Review 1 The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA 1
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Source
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ECONIS (ZBW) 15 RePEc 9 EconStor 7
Showing 1 - 10 of 31
Did you mean: subject:"garch Model" (3,998 results)
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The nexus between the volatility of Bitcoin, gold, and American stock markets during the COVID-19 pandemic : evidence from VAR-DCC-EGARCH and ANN models
Terraza, Virginie; İpek, Aslı Boru; Rounaghi, … - In: Financial innovation : FIN 10 (2024), pp. 1-34
The spread of the coronavirus has reduced the value of stock indexes, depressed energy and metals commodities prices including oil, and caused instability in financial markets around the world. Due to this situation, investors should consider investing in more secure assets, such as real estate...
Persistent link: https://www.econbiz.de/10014532043
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The mediating effect of trading volume on the relationship between investor sentiment and the return of tech companies
Hoekstra, Jesse; Güler, Derya - In: The journal of behavioral finance : a publication of … 25 (2024) 3, pp. 356-373
Persistent link: https://www.econbiz.de/10015049548
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The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility
Adubisi, Obinna Damian; Abdulkadir, Ahmed; Adubisi, … - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1176-1202
Persistent link: https://www.econbiz.de/10015403117
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Performance analysis of gold- and fiat-backed cryptocurrencies: Risk-based choice for a portfolio
Irfan, Muhammad; Rehman, Mubeen Abdur; Nawazish, Sarah; … - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-15
This study aims to investigate the performance and behavior of fiat- and gold-backed cryptocurrencies to support stakeholders through the preparation of a portfolio from 1 January 2021 to 30 June 2022. Moreover, while searching for a hedge or a diversifier to construct a less risky portfolio...
Persistent link: https://www.econbiz.de/10014332846
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Performance analysis of gold- and fiat-backed cryptocurrencies : risk-based choice for a portfolio
Irfan, Muhammad; Rehman, Mubeen Abdur; Nawazish, Sarah; … - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-15
This study aims to investigate the performance and behavior of fiat- and gold-backed cryptocurrencies to support stakeholders through the preparation of a portfolio from 1 January 2021 to 30 June 2022. Moreover, while searching for a hedge or a diversifier to construct a less risky portfolio...
Persistent link: https://www.econbiz.de/10014305920
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The effect of inflation targeting (it) policy on the inflation uncertainty and economic growth in selected African and European countries
Nene, Shelter Thelile; Ilesanmi, Kehinde Damilola; … - In: Economies 10 (2022) 2, pp. 1-16
The study assessed the effect of inflation targeting (IT) policy on inflation uncertainty and economic growth in African and European IT countries. This study contributes to the existing knowledge by analysing and comparing the African IT and European IT countries using two advanced approaches...
Persistent link: https://www.econbiz.de/10013199979
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Financial contagion during global financial crisis and covid-19 pandemic: The evidence from DCC-GARCH model
In: Cogent Economics & Finance 10 (2022) 1, pp. 1-20
This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis. We employ the DCC-EGARCH methodology and daily data of stock returns from 2005 to 2021 to estimate...
Persistent link: https://www.econbiz.de/10015074057
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Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models
Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of four widely traded cryptocurrencies,...
Persistent link: https://www.econbiz.de/10013368338
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Financial contagion during global financial crisis and covid-19 pandemic : the evidence from DCC-GARCH model
Thi Ngan Nguyen; Phan Thi Kieu Hoa; Nguyen Thanh Liem - In: Cogent economics & finance 10 (2022) 1, pp. 1-20
This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis. We employ the DCC-EGARCH methodology and daily data of stock returns from 2005 to 2021 to estimate...
Persistent link: https://www.econbiz.de/10013461351
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Examining the performance of Islamic and conventional stock indices : a comparative analysis
Asutay, Mehmet; Wang, Yumeng; Avdukic, Alija - In: Asia Pacific financial markets 29 (2022) 2, pp. 327-355
Persistent link: https://www.econbiz.de/10013260076
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