Search Results - subject:"Generalized autoregressive conditional heteroscedasticity"

Asymmetric effect of macroeconomic variables on the emerging stock indices : a quantile ARDL approach

Hashmi, Shabir; Chang, Bisharat Hussain - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 1006-1024

Persistent link: https://www.econbiz.de/10014253339

Effects of inflation uncertainty and exchange rate volatility on money demand in Pakistan : Bayesian econometric analysis

Akbar, Muhammad - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1470-1487

Persistent link: https://www.econbiz.de/10014253415

Volatility dynamics of the Tunisian stock market before and during the COVID-19 outbreak : evidence from the GARCH family models

Fakhfekh, Mohamed; Jeribi, Ahmed; Ben Salem, Marwa - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1653-1666

Persistent link: https://www.econbiz.de/10014253433

Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach

Wang, Lu; Ma, Feng; Liu, Guoshan; Lang, Qiaoqi - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 2056-2073

Persistent link: https://www.econbiz.de/10014253654

The Dynamic Connectedness Between Global Macroeconomic Risks and International Stock Markets : A Diagonal BEKK Approach

Güngör, Arifenur; Güngör, Mahmut Sami - 2023

This chapter examines the time-varying linkages between global macroeconomic risks and stock market returns of developed and emerging countries. For this purpose, the authors estimate the Diagonal-BEKK GARCH models for the period from January 5th, 2015 to January 4th, 2022. To consider the...

Persistent link: https://www.econbiz.de/10014258229

International linkages of emerging market index futures, under the closure of underlying spot market : evidence from Indian Nifty futures

Sundararajan, Sivakumar; Balasubramanian, Senthil Arasu - In: Managerial finance 49 (2023) 3, pp. 577-593

Persistent link: https://www.econbiz.de/10014227233

Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth : evidence from the G7

Alao, Rasheed O.; Alhassan, Abdulkareem; Alao, Saheed; … - In: Letters in spatial and resource sciences : LSRS 16 (2023) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10014227467

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

Hedging the risks of MENA stock markets with gold : evidence from the spectral approach

Ourir, Awatef; Bouri, Elie; Essaadi, Essahbi - In: Computational economics 61 (2023) 1, pp. 197-231

In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar,...

Persistent link: https://www.econbiz.de/10014228422

CO2 emission allowances risk prediction with gas and GARCH models

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Computational economics 61 (2023) 2, pp. 775-805

Persistent link: https://www.econbiz.de/10014228462