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Dionne, Georges; Harrington, Scott E. - 2014

Persistent link: https://www.econbiz.de/10010366837

Bi-directional causality between volatility in output growth and price growth : evidence from rice production in India using ARCH/GARCH and panel VECM approach

Pal, Dipyaman; Chakraborty, Chandrima - In: Risks and Resilience of Emerging Economies : Essays in …, (pp. 71-90). 2023

Persistent link: https://www.econbiz.de/10014339164

Effects of average production and price risk on gross margin for cereal products obtained in conventionally and organic farming

Ursu, Ana - In: Agrarian economy and rural development : trends and …, (pp. 231-239). 2022

The study aims to present from a technical-economic point of view aspects related to the cost behaviour, according to the cost-volume-profit analysis model and the sensitivity analysis, of cereal products (maize and wheat) grown in conventional and organic farming systems. In Romania, according...

Persistent link: https://www.econbiz.de/10014342599

Asymmetric impact of oil price shocks on tourism : evidence from selected MENA countries

Kisswani, Khalid M.; Harraf, Arezou - In: Economic development in the MENA region : new perspectives, (pp. 45-63). 2021

) methodology known as the nonlinear autoregressive distributed lags (NARDL) model. The asymmetry is introduced via decomposing the … and Tunisia. In addition, when we analyze the short-run asymmetry, the NARDL results show evidence of asymmetric impact …

Persistent link: https://www.econbiz.de/10012591164

Construction and backtesting of a multi-factor stress-scenario for the stock market

Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015

Persistent link: https://www.econbiz.de/10011326724

A survey of recent theoretical results for time series models with GARCH errors

Li, Wai Keung; Ling, Shiqing; McAleer, Michael - In: Papers in efficiency, effectiveness and international …, (pp. 128-153). 2000

Persistent link: https://www.econbiz.de/10001684387

Asset pricing with observable stochastic discount factors

Smith, Peter N.; Wickens, Michael R. - In: Contributions to financial econometrics : theoretical …, (pp. 161-210). 2003

Persistent link: https://www.econbiz.de/10001932664

The search for chaos and nonlinearities in Swedish stock index returns

Amilon, Henrik - In: Essays on financial models, (pp. 9-36). 2000

Persistent link: https://www.econbiz.de/10001551217

Financial industry and oil price volatility : an analysis on Central and Eastern Europe

Vrinceanu, Georgiana; Horobet, Alexandra; Popescu, Consuela - In: The changing financial landscape : financial …, (pp. 41-63). 2021

the financial industry, as well as Brent crude oil prices, to estimate a two-stage GARCH (1,1) to capture the effects of … temporal dependence in oil prices volatility on financial industry firms’ returns. The GARCH model is complemented by Granger …

Persistent link: https://www.econbiz.de/10012805648

Forecasting and backtesting of market risks in emerging markets

Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021

-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH …

Persistent link: https://www.econbiz.de/10012591721

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