Search Results - subject:"Volatility clustering"

Adu, George; Alagidede, Paul; Karimu, Amin - In: Review of development finance 5 (2015) 2, pp. 98-109

Persistent link: https://www.econbiz.de/10011447276

Economic forces and equity market returns in Ghana : symmetric dependence with quantile regressions

Boako, Gideon; Frimpong, Joseph Magnus; Acheampong, … - In: Ghanaian journal of economics : GJE ; a journal of the … 3 (2015), pp. 86-108

Persistent link: https://www.econbiz.de/10011496898

GARCH model and predictive performance of volatility forecasting : evidence from oil market

Yazdanfar, Darush - In: World review of entrepreneurship, management and … 11 (2015) 4, pp. 345-357

Persistent link: https://www.econbiz.de/10011442352

The stress-dependent random walk

Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16

Persistent link: https://www.econbiz.de/10011419399

Complex model of market price development and its simulation

Stádník, Bohumil; Miečinskiene, Algita - In: Journal of business economics and management 16 (2015) 4, pp. 786-807

Persistent link: https://www.econbiz.de/10011384542

Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76

Persistent link: https://www.econbiz.de/10011377303

Volatility clustering and leverage effect in the Indian Forex market

Zabiulla - In: Global business review 16 (2015) 5, pp. 785-799

Persistent link: https://www.econbiz.de/10011409700

Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models

Franke, Reiner - 2008

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...

Persistent link: https://www.econbiz.de/10010296307

Evidence of volatility clustering on the FTSE/JSE top 40 index

Louw, Jan Paul - 2008

ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE …/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the … there was volatility clustering on the FTSE/JSE Top 40 Index. It further showed that more complex models such as the GARCH(1 …

Persistent link: https://www.econbiz.de/10009442059

Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations

Diongue, Abdou Kâ; Guegan, Dominique; Wolff, Rodney C. - HAL - 2008

two key properties of non-linear time series : volatility clustering and leverage effects. It has been observed often that … returns, when the features of interest manifest as volatility clustering and leverage effects. …

Persistent link: https://www.econbiz.de/10010750616