Search Results - subject:"Volatility clustering."

THE IMPACT OF POLITICAL AND ECONOMIC NEWS ON THE EURO/RON EXCHANGE RATE: A GARCH APPROACH

Spulbar, Cristi; Nitoi, Mihai - In: Annals - Economy Series 4I (2012) December, pp. 52-58

Within this study we try to capture the impact of political news and economic news from euro area on the exchange rate between Romanian currency and euro. In order to do this we used a GARCH model. As we observed, both variables influence the exchange rate, this fact implying national currency...

Persistent link: https://www.econbiz.de/10010604704

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