Search Results - subject:"conditional volatility"

Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets

Liow, Kim; Chen, Zhiwei; Liu, Jingran - In: The Journal of Real Estate Finance and Economics 42 (2011) 3, pp. 295-328

Persistent link: https://www.econbiz.de/10008926159

Risk-Return Trade-Off in Indian Capital Market During Last Two Decades with Special Emphasis on Crisis Period

NARANG, SUNITA; BHALLA, V. K. - In: Annals - Economic and Administrative Series - 5 (2011) 1, pp. 77-98

This paper examines the risk-return relationship in Indian stock market using symmetric and asymmetric GARCH-in-mean (GARCH-M) models. First the standard GARCH-M model is used, next since variance is proxy for risk, we ascertain if there is any significant relation between asymmetric variance...

Persistent link: https://www.econbiz.de/10010628428

Nonparametric modeling of carbon prices

Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2011

in the conditional mean functions. Second, the conditional volatility functions reveal an asymmetric and heteroskedastic …

Persistent link: https://www.econbiz.de/10010706565

A conditional CAPM: implications for systematic risk estimation

Milionis, Alexandros - In: Journal of Risk Finance 12 (2011) August, pp. 306-314

Purpose – The purpose of this paper is to examine, whether or not, the residuals of the market model (MM) are conditionally heteroscedastic; to examine, whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the MM; to propose a simple...

Persistent link: https://www.econbiz.de/10010720094

Stock markets and terrorist attacks : comparative evidence from a large and a small capitalization market

Kollias, Chrēstos; Manou, Efthalia; Papadamou, Stephanos; … - In: European journal of political economy 27 (2011), pp. 64-77

Persistent link: https://www.econbiz.de/10009500364

Terrorism and capital markets : the effects of the Madrid and London bomb attacks

Kollias, Chrēstos; Papadamou, Stephanos; Stagiannis, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 532-541

Persistent link: https://www.econbiz.de/10009303984

What drives the volume-volatility relationship on Euronext Paris?

Louhichi, Wae͏̈l - In: International review of financial analysis 20 (2011) 4, pp. 200-206

Persistent link: https://www.econbiz.de/10009295712

Autorregresive conditional volatility, skewness and kurtosis

León, Angel; Serna, Gregorio; Rubio Irigoyen, Gonzalo - Departamento de Fundamentos del Análisis Económico … - 2002

This paper proposes a GARCH-type model allowing for time-varying volatility, skewness and kurtosis. The model is estimated assuming a Gram-Charlier series expansion of the normal density function for the error term, which is easier to estimate than the non-central t distribution proposed by...

Persistent link: https://www.econbiz.de/10004972691

An empirical comparison of the performance of alternative option pricing models

Gago, Mónica; Rubio Irigoyen, Gonzalo; León, Angel; … - Departamento de Fundamentos del Análisis Económico … - 2002

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

Persistent link: https://www.econbiz.de/10004972695

Empirical Analysis of Conditional Heteroskedasticity in Time Series of Stock Returns and Asymmetric Effect on Volatility

Kumar, Rakesh; Dhankar, Raj S. - In: Global Business Review 11 (2010) 1, pp. 21-33

returns and conditional volatility, and standard residuals. The daily opening and closing prices of S&P 500 and NASDAQ 100 are … significant relationship between stock returns and conditional volatility. However, the relationship between stock returns and … standardized residuals is found to be significant. This study provides a robustness test of the conditional volatility and …

Persistent link: https://www.econbiz.de/10010773797