Search Results - subject:"EGARCH Models"

Modeling the volatility of exchange rate and international trade in Ghana : empirical evidence from GARCH and EGARCH

Yussif, Abdul-Razak Bawa; Onifade, Stephen T.; Ay, Ahmet; … - In: Journal of economic and administrative sciences 40 (2024) 2, pp. 308-324

Persistent link: https://www.econbiz.de/10014632182

Exchange-traded funds and FX volatility: Evidence from Turkey

Sakarya, Burçhan; Ekinci, Aykut - In: Central Bank Review (CBR) 20 (2020) 4, pp. 205-211

. This study looks at ETF fund flows in foreign exchange uncertainty by using EGARCH models, together with added control …

Persistent link: https://www.econbiz.de/10014547796

Exchange-traded funds and FX volatility : evidence from Turkey

Sakarya, Burçhan; Ekinci, Aykut - In: Central Bank review / Central Bank of the Republic of Turkey 20 (2020) 4, pp. 205-211

. This study looks at ETF fund flows in foreign exchange uncertainty by using EGARCH models, together with added control …

Persistent link: https://www.econbiz.de/10012429639

Dynamic Tobit models

Harvey, Andrew C.; Liao, Yin - 2019

Persistent link: https://www.econbiz.de/10012692647

Estimating time-varying volatility in consumer prices in rwanda : application of GARCH models

Maniraguha, Faustin; Karangwa, Mathias; Mwenese, Bruno; … - In: BNR economic review (2019) 14, pp. 53-75

Persistent link: https://www.econbiz.de/10012312029

The impact of COVID-19 on gold seasonality

Bentes, Sónia R.; Gubareva, Mariya; Teplova, Tamara V. - In: Applied economics 54 (2022) 40, pp. 4700-4710

Persistent link: https://www.econbiz.de/10013411010

Modeling financial market volatility in transition markets: A multivariate case

Oikonomikou, Leoni Eleni - 2016

This paper presents evidence of linkages across equity markets in the following transition economies: Russia, Ukraine, Poland and Czech Republic from beginning of January 2005 till the end of December 2014. We apply a multivariate asymmetric EGARCH model. Empirical results indicate significant...

Persistent link: https://www.econbiz.de/10011460592

Modeling financial market volatility in transition markets : a multivariate case

Oikonomikou, Leoni Eleni - 2016 - Revised version including comments: February 2015

Persistent link: https://www.econbiz.de/10011454085

Multiday expected shortfall under generalized t distributions : evidence from global stock market

Iqbal, Robina; Sorwar, Ghulam; Baker, Rose; Choudhry, Taufiq - In: Review of quantitative finance and accounting 55 (2020) 3, pp. 803-825

Persistent link: https://www.econbiz.de/10012304001

Contagion from the crises in the Euro-zone : where, when and why?

Pentecost, Eric J.; Du, Wenti; Bird, Graham; Willett, … - In: The European journal of finance 25 (2019) 14, pp. 1309-1327

Persistent link: https://www.econbiz.de/10012207094