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International portfolio allocation with European fixed-income funds: What scope for Italian funds?

Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2014

fractionally-integrated GARCH for the conditional variance. The interaction between the funds is modelled as the Dynamic …

Persistent link: https://www.econbiz.de/10011107858

Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange

Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 1998

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …

Persistent link: https://www.econbiz.de/10011108476

Risk-parameter estimation in volatility models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2012

suggest a superiority of the one-step method when the innovations are heavy-tailed. For standard GARCH models, the comparison …

Persistent link: https://www.econbiz.de/10011108575

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

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

Investigating the Impact of the Greek Electricity Market Reforms on its Day-Ahead Market Prices

Kalantzis, Fotis; Sakellaris, Kostis - Volkswirtschaftliche Fakultät, … - 2012

electricity market during the period 2004-2011, on the Day-Ahead Market Price. We consider an ARMA-GARCH model extended to include …

Persistent link: https://www.econbiz.de/10011108715

Modeling and Forecasting Volatility – How Reliable are modern day approaches?

Mehta, Anirudh; Kanishka, Kunal - Volkswirtschaftliche Fakultät, … - 2014

constructed by (1) GARCH, (2) TGARCH, (3) Risk metrics and (4) Historical volatility. Volatility forecasts suggest that TGARCH … performs relatively best in term of MSPE, followed by GARCH, Risk metrics and historical volatility. In terms of VaR, we test …

Persistent link: https://www.econbiz.de/10011109012

Un modelo GARCH con asimetria condicional autorregresiva para modelar series de tiempo: Una aplicacion para los rendimientos del Indice de Precios y Cotizaciones de la BMV

Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2013

We develop a GARCH model with autoregressive conditional asymmetry to describe time-series. This means that, in …

Persistent link: https://www.econbiz.de/10011109096

Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization

Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014

This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...

Persistent link: https://www.econbiz.de/10011109117

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