Search Results - subject:"Volatility clustering."

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

An econometric approach to incorporating non-normality in VaR measurement

Gumbo, Victor; Siziba, Simiso - In: Journal of mathematical finance 6 (2016) 1, pp. 82-98

Persistent link: https://www.econbiz.de/10011543127

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Listing of bank nifty on futures segment of NSE and its impact on spot market volatility

Lakshmi, V. D. M. V.; Joshi, Medha Shriram - In: Praj̄nȧn : journal of social and management sciences 44 (2016) 4, pp. 293-314

Persistent link: https://www.econbiz.de/10011490053

Impact of individual stock derivatives introduction in India on its underlying spot market volatility

Nandy, Suparna; Chattopadhyay, Arup Kumar - In: Asia-Pacific journal of management research and … 12 (2016) 2, pp. 109-133

Persistent link: https://www.econbiz.de/10011720262

Volatility clustering : a nonlinear theoretical approach

He, Xue-zhong; Li, Kai; Wang, Chuncheng - In: Journal of economic behavior & organization : JEBO 130 (2016), pp. 274-297

Persistent link: https://www.econbiz.de/10011701919

Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172

Do expirations of Bank nifty contracts on F&O segment of NSE affect spot market volatility?

Lakshmi, VDMV; Joshi, Medha Shriram - In: GITAM journal of management : a quarterly publication … 14 (2016) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011656178

BL-GARCH model with elliptical distributed innovations

Diongue, Abdou Kâ; Guegan, Dominique; Wolff, Rodney C. - HAL - 2010

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/10010738634

Modeling Volatility in Emerging Stock Markets Of India And China

Joshi, Prashant - In: Journal of Quantitative Economics 8 (2010) January, pp. 86-94

captures nonlinearity and volatility clustering. The analysis suggests that the persistence of volatility in Chinese stock …

Persistent link: https://www.econbiz.de/10010850666