Search Results - subject:"GARCH-in-mean"

Volatility spillovers and conditional correlations between oil, renewables and stock markets : a multivariate GARCH-in-mean analysis

Wang, Wenxue; Moffatt, Peter G.; Zhang, Zheng; Raza, … - In: Energy strategy reviews 57 (2025), pp. 1-11

daily data from 2008 to 2021. The econometric framework adopted is the VARMA-DCC-GARCH-in-mean model. We find that this …

Persistent link: https://www.econbiz.de/10015432140

Hedging inflation expectations in the cryptocurrency futures market

Liu, Jinan; Valcarcel, Victor J. - In: Journal of financial stability 70 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014490464

Oil price uncertainty and consumer sentiment in advanced economies

Azad, Nahiyan Faisal; Serletis, Apostolos - In: The energy journal 45 (2024) 6, pp. 159-175

Persistent link: https://www.econbiz.de/10015323984

Inflation dynamics and persistence : the importance of the uncertainty channel

Canepa, Alessandra - In: The North American journal of economics and finance : a … 72 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014534818

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

Ination dynamics and time-varying persistence : the importance of the uncertainty channel

Canepa, Alessandra - 2022

Persistent link: https://www.econbiz.de/10013366360

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

RMB bloc or dollar bloc? : China's monetary and financial influences on Asia

Ong, Sheue Li; Satō, Kiyotaka - In: Topical issues in international development and economics, (pp. 429-459). 2024

Persistent link: https://www.econbiz.de/10014548377

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