Search Results - subject:"conditional volatility"

Price and volatility transmissions between natural gas, fertilizer, and corn markets

Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; … - In: Agricultural Finance Review 76 (2016) 1, pp. 151-171

equation and a multivariate generalized autoregressive heteroskedasticity model for the conditional volatility equation to … volatility of ammonia prices positively affects conditional volatility in the corn market and vice versa. This result is robust … in the short run, but both prices react to deviations from the long-run parity. Furthermore, the lagged conditional …

Persistent link: https://www.econbiz.de/10014667644

Looking into the relationship between implied and realized volatility : a study on S&P CNX Nifty index option

Mishra, Alok Kumar; Panda, Siba Prasad - In: Eurasian economic review : a journal in applied … 6 (2016) 1, pp. 67-96

Persistent link: https://www.econbiz.de/10011441282

Dependence structure between sukuk (Islamic bonds) and stock market conditions : an empirical analysis with Archimedean copulas

Naifar, Nader; Hammoudeh, Shawkat; Al dohaiman, Mohamed S. - In: Journal of international financial markets, … 44 (2016), pp. 148-165

Persistent link: https://www.econbiz.de/10011690405

Price and volatility transmissions between natural gas, fertilizer, and corn markets

Etienne, Xiaoli Liao; Trujillo-Barrera, Andrés; … - In: Agricultural finance review 76 (2016) 1, pp. 151-171

Persistent link: https://www.econbiz.de/10011696348

Quantitative modelling of the EUR/CHF exchange rate during the target zone regime of September 2011 to January 2015

Lera, Sandro Claudio; Sornette, Didier - In: Journal of international money and finance 63 (2016), pp. 28-47

Persistent link: https://www.econbiz.de/10011668340

Time-varying correlation between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries

Boldanov, Rustam; Degiannakis, Stavros; Filis, George - In: International review of financial analysis 48 (2016), pp. 209-220

Persistent link: https://www.econbiz.de/10011624489

A closer insight into the causality between short selling trades and volatility

Baklaci, Hasan F.; Suer, Omur; Yelkenci, Tezer - In: Finance research letters 17 (2016), pp. 48-54

Persistent link: https://www.econbiz.de/10011596213

Herding and excessive risk in the American stock market : a sectoral analysis

Litimi, Houda; BenSaïda, Ahmed; Bouraoui, Omar - In: Research in international business and finance 38 (2016), pp. 6-21

Persistent link: https://www.econbiz.de/10011640603

Dynamic forecasting : efficacy of rolling symmetric and asymmetric GARCH models

Talwar, Shalini - In: South Asian journal of management : SAJM 23 (2016) 3, pp. 102-142

Persistent link: https://www.econbiz.de/10011643885

Turn-of-the-month effect : new evidence from an emerging stock market

Kayacetin, Volkan; Lekpek, Senad - In: Finance research letters 18 (2016), pp. 142-157

Persistent link: https://www.econbiz.de/10011656982