Search Results - subject:"auto regressive conditional heteroscedasticity"

Evaluating the effects of the monetary policy on the total stock market index in the Iranian economy : using the TVP-VAR and GARCH approaches

Zarei, Zhale; Hemmati, Maryam; Davoudi, Pedram - In: Iranian economic review : journal of University of Tehran 28 (2024) 3, pp. 899-920

Persistent link: https://www.econbiz.de/10015402933

The bias in the long run relation between the prices of BRENT and West Texas intermediate crude oils

Azar, Samih Antoine; Salha, Angelic - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 1, pp. 44-54

Persistent link: https://www.econbiz.de/10011748942

The effects of U.S. unconventional monetary policy on Asian stock markets

Lee, Chien-Chiang; Chen, Mei-Ping; Huang, Chun-Chie - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 917-945

Persistent link: https://www.econbiz.de/10012509364

Do bitcoins follow a random walk model?

Aggarwal, Divya - In: Research in economics : an international review of economics 73 (2019) 1, pp. 15-22

Persistent link: https://www.econbiz.de/10012305863

Random walk model and asymmetric effect in Korean composite stock price index

Aggarwal, Divya - In: Afro-Asian Journal of Finance and Accounting : AAJFA 8 (2018) 1, pp. 85-104

Persistent link: https://www.econbiz.de/10011933974

Evidence on Hedging Effectiveness in Indian Derivatives Market

Kumar, Barik; Supriya, M. - In: Asia-Pacific Financial Markets 21 (2014) 2, pp. 121-131

, generalized auto-regressive conditional heteroscedasticity (1, 1), and constant correlation generalized auto-regressive … generalized auto-regressive conditional heteroscedasticity (1, 1) is an efficient hedging method that maximizes investors’ utility … conditional heteroscedasticity (1, 1) hedging methods are estimated and compared. Result shows that constant correlation …

Persistent link: https://www.econbiz.de/10010866380

Evidence on hedging effectiveness in Indian derivatives market

Kumar, Barik Prasanna; Supriya, M. V. - In: Asia-Pacific financial markets 21 (2014) 2, pp. 121-131

Persistent link: https://www.econbiz.de/10010358437