Search Results - subject:"GARCH-In-Mean Model"

Volatility and dependence in crude oil and agricultural commodity markets

Liu, Jinan; Serletis, Apostolos - In: Applied economics 57 (2025) 12, pp. 1314-1325

Persistent link: https://www.econbiz.de/10015331686

Volatility and dependence in cryptocurrency and financial markets : a copula approach

Liu, Jinan; Serletis, Apostolos - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 119-149

Persistent link: https://www.econbiz.de/10014506890

Time-variant safe haven currencies

Sato, Ayano; Nakata, Hayato; Percy, Jay - In: International review of economics & finance : IREF 93 (2024) 2, pp. 316-328

Persistent link: https://www.econbiz.de/10014535558

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

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

Volatility and dependence in energy markets

Liu, Jinan; Serletis, Apostolos - In: Journal of economics and finance : JEF 47 (2023) 1, pp. 15-37

Persistent link: https://www.econbiz.de/10014227687

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

The complex relationship between inflation and equity returns

Liu, Jinan; Serletis, Apostolos - In: Journal of economic studies 49 (2022) 1, pp. 159-184

Persistent link: https://www.econbiz.de/10012798614

World commodity prices and economic activity in advanced and emerging economies

Liu, Jinan; Serletis, Apostolos - In: Open economies review 33 (2022) 2, pp. 347-374

Persistent link: https://www.econbiz.de/10013273194

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