Search Results - subject:"Volatility clustering"

Mean-variance portfolio with wealth and volatility dependent risk aversion

Liu, Shican - In: Quantitative finance 24 (2024) 6, pp. 735-751

Persistent link: https://www.econbiz.de/10015050791

An empirical analysis of exchange rate volatility in India during COVID-19 pandemic and Russia-Ukraine war

Pandey, Abhishek; Kumar, Shanu - In: Mudra : journal of finance and accounting 11 (2024) 1, pp. 85-103

Persistent link: https://www.econbiz.de/10015063490

Time-changed GARCH versus GARJI model for extreme events : an empirical study

Kao, Lie-Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024

Persistent link: https://www.econbiz.de/10015046799

Comparisons between the Markowitz model and the Black-Litterman model

Teng, Huei-Wen - 2024

Persistent link: https://www.econbiz.de/10015047743

New approaches to robust inference on market (non-)efficiency, volatility clustering and nonlinear dependence

Ibragimov, Rustam Ju.; Pedersen, Rasmus Søndergaard; … - 2024

Persistent link: https://www.econbiz.de/10015338767

COVID-19 pandemic and Romanian stock market volatility: A GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10013201025

Financial contagion: A tale of three bubbles

Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-14

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and … empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the …

Persistent link: https://www.econbiz.de/10012611786

Financial contagion : a tale of three bubbles

Burks, Nathan; Fadahunsi, Adetokunbo; Hibbert, Ann Marie - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-14

Persistent link: https://www.econbiz.de/10012587643

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

Persistent link: https://www.econbiz.de/10012626337

Modelling exchange rate volatility of Somali Shilling against US Dollar by utilizing GARCH models

Ali, Abdullahi Osman - In: International journal of economics and financial issues … 11 (2021) 2, pp. 35-39

Persistent link: https://www.econbiz.de/10012509707