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Efecte Gone Fishin’ la Bursa de Valori din Bucureşti
Dumitriu, Ramona; Stefanescu, Razvan - Volkswirtschaftliche Fakultät, … - 2013
2013. In this analysis we employ daily values of five main indexes of Bucharest Stock Exchange. We use GARCH models to …
Persistent link: https://www.econbiz.de/10011258329
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Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange
Stefanescu, Razvan; Dumitriu, Ramona - Volkswirtschaftliche Fakultät, … - 2013
sub-samples corresponding to different stages of the Romanian financial markets evolution. The GARCH models employed in …
Persistent link: https://www.econbiz.de/10011258604
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An Application of GARCH while investigating volatility in stock returns of the World.
Subhani, Muhammad Imtiaz; Hasan, Syed Akif; Osman, Ms. Amber - Volkswirtschaftliche Fakultät, … - 2012
periods. GARCH (1, 1) was deployed for investigating the possible eventualities of volatilities of stock markets. The findings …, almost for all countries GARCH (1, 1) yielded significant results confirming the existence of volatility of stock markets for …
Persistent link: https://www.econbiz.de/10011260497
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Modelo de intervención cambiaria para el caso venezolano
Sánchez, Pedauga; Enrique, Luis - Volkswirtschaftliche Fakultät, … - 2003
Conditional Heteroskedasticity Model GARCH (1,1). This model defines exchange rate fluctuations that are not associated with the …
Persistent link: https://www.econbiz.de/10011191497
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Modelização VAR da volatilidade dos preços do ouro e dos índices dos mercados financeiros
Antunes, João Marques; Fuinhas, José Alberto; … - Volkswirtschaftliche Fakultät, … - 2014
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of gold in euros, the price of gold in dollars, the U.S. industrial production índex, the S&p500 index, the VIX índex and the PSI20 index for a time horizon between January 1993...
Persistent link: https://www.econbiz.de/10011108622
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Volatility Spillover in India, USA and Japan Investigation of Recession Effects
Sinha, Pankaj; Sinha, Gyanesh - Volkswirtschaftliche Fakultät, … - 2010
the very same day), or dynamic/lagged (with one day lag). A GARCH (1,1) model of modelling volatility has been undertaken …
Persistent link: https://www.econbiz.de/10011108677
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Volatility Spillover Across GCC Stock Markets
Onour, Ibrahim - Volkswirtschaftliche Fakultät, … - 2012
international or regional diversification and market efficiency. In this paper, multivariate GARCH model was employed to investigate …
Persistent link: https://www.econbiz.de/10011110441
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Volatility modelling of foreign exchange rate: discrete GARCH family versus continuous GARCH
Ari, Yakup - Volkswirtschaftliche Fakultät, … - 2012
Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH … and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …
Persistent link: https://www.econbiz.de/10011110949
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The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2012
political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four …
Persistent link: https://www.econbiz.de/10011111235
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Short and Long-Term Effects of September 11 on Stock Returns: Evidence from U.S. Defense Firms
Douch, Mohamed; Essaddam, Naceur - Volkswirtschaftliche Fakultät, … - 2011
time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …
Persistent link: https://www.econbiz.de/10011112936