Search Results - subject:"Volatility clustering"

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …

Persistent link: https://www.econbiz.de/10010985133

Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años

Alonso C., Julio César; Torres, Giselle - In: Journal of Economics, Finance and Administrative Science 19 (2014) 36, pp. 45-54

market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect …

Persistent link: https://www.econbiz.de/10011859360

Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2014

Persistent link: https://www.econbiz.de/10011382186

Características estadísticas del índice general de la Bolsa de Valores de Colombia (IGBC) en sus primeros 10 años

Alonso, Julio; Torres, Giselle - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 45-54

market; II) heavy tails of the distribution; III) aggregational Gaussianity; IV) volatility clustering and V) Taylor effect …

Persistent link: https://www.econbiz.de/10011872477

A Real Option Perspective on Valuing Gas Fields

Zhao, Lin; van Wijnbergen, Sweder - 2013

reservoir size are the two main sources of uncertainty. Gas price returns show volatility clustering , which we model using a …

Persistent link: https://www.econbiz.de/10010326318

A Real Option Perspective on Valuing Gas Fields

Zhao, Lin; Wijnbergen, Sweder van - Tinbergen Instituut - 2013

reservoir size are the two main sources of uncertainty. Gas price returns show volatility clustering , which we model using a …

Persistent link: https://www.econbiz.de/10011257259

The Risk of not Being Normal in Finance: An Essay on the Leptokurtic Behavior of Stock Series in Colombia

Ramírez, José Carlos; Arias, Olga Chacón - In: Economía Mexicana NUEVA ÉPOCA XXII (2013) 3, Cierre de época (I), pp. 165-201

This paper is aimed at analyzing the main problems concerning fat-tailed asset return distributions. In doing so, a sample of Colombian stock returns over a period of time ranging from 2001 to 2010 is considered. The main conclusion drawn from this case study is that any model facing...

Persistent link: https://www.econbiz.de/10010752727

The risk of not being normal in finance. An essay on the leptokurtic behavior of stock series in Colombia

Ramírez, José Carlos; Arias, Olga Chacón - In: Economía Mexicana NUEVA ÉPOCA Cierre de época (I) (2013), pp. 165-201

Persistent link: https://www.econbiz.de/10010721463

ANALYSIS ON RUNS OF DAILY RETURNS IN ISTANBUL STOCK EXCHANGE

SENSOY, Ahmet - In: Journal of Advanced Studies in Finance III (2013) 2, pp. 151-161

several weeks suggesting volatility clustering. Similar to the absolute daily returns, absolute value of run returns display … strong and slowly decaying autocorrelations which again supporting the existence of volatility clustering. Unlike magnitudes …

Persistent link: https://www.econbiz.de/10010607587

A real option perspective on valuing gas fields

Zhao, Lin; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191285