Search Results - subject:"GARCH in mean model"

Do green indices outperform BSESENSEX and energy indices in India? Some evidence on investors' commitment towards green investing

Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International Econometric Review (IER) 13 (2021) 2, pp. 41-58

ratio, Treynor ratio, and Jensen's Alpha, on all the five indices, we have also applied GARCH-in-mean model to find if there …, the two green indices and BSESENSEX show significant presence of risk premium in the framework of GARCH-in-mean model …

Persistent link: https://www.econbiz.de/10014518998

Equity fund flows and stock market returns in the USA before and after the global financial crisis : a VAR-GARCH-in-mean analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - In: Empirical economics : a quarterly journal of the … 60 (2021) 2, pp. 539-555

Persistent link: https://www.econbiz.de/10012490280

Do green indices outperform BSESENSEX and energy indices in India? : some evidence on investors' commitment towards green investing

Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International econometric review 13 (2021) 2, pp. 41-58

Persistent link: https://www.econbiz.de/10012816132

The risk-return relationship in crude oil markets during COVID-19 pandemic : evidence from time-varying coefficient GARCH-in-Mean model

Napon Hongsakulvasu; Asama Liammukda - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 63-71

Persistent link: https://www.econbiz.de/10012671349

Equity fund flows and stock market returns in the US before and after the global financial crisis: A VAR-GARCH-in-mean analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482258

Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008—2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011522432