Search Results - subject:"Volatility clustering"

A new semiparametric volatility model

Ji, Jiangyu; Lucas, André - 2012

Persistent link: https://www.econbiz.de/10009722627

A fresh look at integration of risks in the international stock markets: a wavelet approach

Marfatia, Hardik A. - In: Review of financial economics : RFE 34 (2017), pp. 33-49

Persistent link: https://www.econbiz.de/10011876782

Modelling persistence in conditional volatility of asset returns

Pandey, Rajan; Kumar, Arya - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 1, pp. 16-34

Persistent link: https://www.econbiz.de/10011748637

Forecasting volatility of carbon under EU ETS : a multi-phase study

Dhamija, Ajay K.; Yadav, Surendra S.; Jain, Pramod Kumar - In: Environmental economics and policy studies 19 (2017) 2, pp. 299-335

Persistent link: https://www.econbiz.de/10011648594

Modelling volatility of BSE Realty Index using conditional heteroscedasticity models

Kadanda, Dhananjaya; Krishna Raj - In: Manthan : journal of commerce and management 4 (2017) 2, pp. 13-28

Persistent link: https://www.econbiz.de/10011875837

Extreme Value Theory as a Theoretical Background for Power Law Behavior

Alfarano, Simone; Lux, Thomas - Departament d'Economia, Universitat Jaume I - 2011

Power law behavior has been recognized to be a pervasive feature of many phenomena in natural and social sciences. While immense research efforts have been devoted to the analysis of behavioral mechanisms responsible for the ubiquity of power-law scaling, the strong theoretical foundation of...

Persistent link: https://www.econbiz.de/10010908218

Analysis of GARCH Modeling in Financial Markets: An Approach Based on Technical Analysis Strategies

Gherman, Mircea Cristian - In: Acta Universitatis Danubius. OEconomica (2011) 4(4), pp. 158-171

also in other financial series, together with the phenomenon of volatility clustering are premises for applying a GARCH …

Persistent link: https://www.econbiz.de/10010553461

Extreme Value Theory as a Theoretical Background for Power Law Behavior

Alfarano, Simone; Lux, Thomas - Departament d'Economia, Universitat Jaume I - 2011

Persistent link: https://www.econbiz.de/10009371414

Structurally-Induced Volatility Clustering

Machina, Mark J; Granger, Clive W.J. - Department of Economics, University of California-San … - 2002

heteroskedasticity ("volatility clustering") in their key dependent variables, even when their underlying stochastic shock variables are … examples of this phenomenon, and examines the nature of such induced volatility clustering. …

Persistent link: https://www.econbiz.de/10010536389

House price return volatility patterns in Turkey, Istanbul, Ankara and Izmir

Coskun, Yener; Ertugrul, Hasan Murat - In: Journal of European Real Estate Research 9 (2016) 1, pp. 26-51

/country-level house price return volatility series display volatility clustering pattern and therefore volatilities in house price returns …/downside risks of house price returns. Second, defined volatility clustering pattern implies that rate of return of housing …

Persistent link: https://www.econbiz.de/10014862750