Search Results - subject:"GARCH‐M model"

Econometric history of the growth-volatility relationship in the USA : 1919-2017

Charles, Amélie; Darné, Olivier - In: Cliometrica : journal of historical economics and … 15 (2021) 2, pp. 419-442

Persistent link: https://www.econbiz.de/10012499668

The day-of-the-week anomaly in market returns, volume and volatility in SAARC countries

Abbas, Sumra; Javid, Attiya Yasmin - 2015

Persistent link: https://www.econbiz.de/10011335025

Empirical analysis of economic policy uncertainty and stock returns in Asian markets

Chiang, Thomas C. - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 63-87

Persistent link: https://www.econbiz.de/10012582246

The effectiveness of foreign exchange intervention in Latin America : a nonlinear approach to the coordination channel

Gamboa-Estrada, Fredy - In: Global finance journal 40 (2019), pp. 13-27

Persistent link: https://www.econbiz.de/10012257033

Empirical analysis of intertemporal relations between downside risks and expected returns : evidence from Asian markets

Chiang, Thomas C. - In: Research in international business and finance 47 (2019), pp. 264-278

Persistent link: https://www.econbiz.de/10012135733

Estimating a GARCH-M Model by a Non-Parametric Heuristic Method and Its Advantages

Kukal, Jaromír; Quang, Tran Van - In: Politická ekonomie 2014 (2014) 1, pp. 100-116

the use of a heuristic called differential evolution to estimate the parameters of a GARCH-M model. This technique can …/EURO forward exchange rate premium of period from 2007 to 2012 by a GARCH-M model. …

Persistent link: https://www.econbiz.de/10011195280

Examining mean-volatility spillovers across national stock markets

Natarajan, Vinodh Kesavaraj; Raja Singh, Azariah Robert; … - In: Journal of Economics, Finance and Administrative Science 19 (2014) 36, pp. 55-62

effects using the GARCH in Mean model for the period January 2002 to December 2011. The GARCH-M model seeks to provide useful …

Persistent link: https://www.econbiz.de/10011859361

Examining mean-volatility spillovers across national stock markets

Natarajan, Vinodh K.; Singh, Azariah Robert Raja; … - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 55-62

effects using the GARCH in Mean model for the period January 2002 to December 2011. The GARCH-M model seeks to provide useful …

Persistent link: https://www.econbiz.de/10011872506

Inflation, inflation uncertainty and output in Tunisia

Hachicha, Ahmed - 2013

This study investigates the relationship between inflation, inflation uncertainty and output in Tunisia using real and nominal data. GARCH-in-mean model with lagged variance equation is employed for the analysis. The result shows that inflation uncertainty has a positive and significant effect...

Persistent link: https://www.econbiz.de/10010311028

A Study to Examine Time-Varying Effectiveness of Stock Returns on Tehran Stock Exchange

SiamiNamini, Rahele; RahnamaRoudposhti, Fereydoun; … - In: International Journal of Financial Research 4 (2013) 2, pp. 154-161

The present study aims to examine the presence of various anomalies or 'calendar effects' in stock index returns by using the Tehran Stock Exchange (TSE) index during the period 2004-2010. The findings show that the weekend effect, the weekend effect within the monthly effect, the monthly...

Persistent link: https://www.econbiz.de/10011267563