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Intertemporal risk-return relationship in BRIC equity markets after the US financial crisis

Singh, Amanjot; Singh, Manjit - In: International Journal of Law and Management 59 (2017) 4, pp. 547-570

Purpose This paper aims to attempt to capture the intertemporal/time-varying risk–return relationship in the Brazil, Russia, India and China (BRIC) equity markets after the global financial crisis (2007-2009), i.e. during a relative calm period. There has been a significant increase in...

Persistent link: https://www.econbiz.de/10014782197

Forecasting stock index volatility with GARCH models: international evidence

Sharma, Prateek; _, Vipul - In: Studies in Economics and Finance 32 (2015) 4, pp. 445-463

Purpose – The purpose of this paper is to compare the daily conditional variance forecasts of seven GARCH-family models. This paper investigates whether the advanced GARCH models outperform the standard GARCH model in forecasting the variance of stock indices. Design/methodology/approach –...

Persistent link: https://www.econbiz.de/10015014210

Emerging Markets Reward Risk: Empirical Evidence from MENA during 2008 Financial Crisis

Lahmiri, Salim; Gagnon, Stephane - In: International Journal of Innovation in the Digital … 7 (2016) 3, pp. 65-76

The relationship between risk and return in Middle East and North Africa (MENA) region stock markets is estimated during 2008 international financial crisis; including Jordan, KSA, Morocco, and Turkey. For comparison purpose, stock markets from Europe are also examined; including, FTSE (UK), CAC40...

Persistent link: https://www.econbiz.de/10012045442

EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments

van der Sluis, Pieter J. - In: Studies in Nonlinear Dynamics & Econometrics 2 (1997) 3

moments, EGARCH models with a variety of non-normal distributions can be estimated with this package. Implementations have …

Persistent link: https://www.econbiz.de/10014620802

Effect of inflation uncertainty, output uncertainty and oil price on inflation and growth in Australia

Mallik, Girijasankar; Chowdhury, Anis - In: Journal of Economic Studies 38 (2011) 4, pp. 414-429

and growth uncertainty for Australia. Design/methodology/approach – Multivariate EGARCH models has been used to estimate … quarterly data in multivariate EGARCH models, this study finds that both inflation uncertainty and output uncertainty have … inflation‐targeting monetary policy in Australia. Research limitations/implications – Multivariate EGARCH model can be used to …

Persistent link: https://www.econbiz.de/10014863291

Volatility and efficiency of the world crude oil market

Al Fawzan, Fawzan Abdul Aziz - In: Journal of Economic and Administrative Sciences 31 (2015) 1, pp. 20-29

heteroskedasticity (GARCH-M), exponential generalized autoregressive conditional heteroskedasticity (EGARCH), and threshold GARCH (TGARCH …. Findings – The weak-form efficient market (random walk) hypothesis was rejected for all estimated GARCH-M, EGARCH, and TGARCH …

Persistent link: https://www.econbiz.de/10014857777

Market liberalization and volatility of returns in emerging markets

Al‐Khouri, Ritab; Abdallah, Abdulkhader - In: International Journal of Islamic and Middle Eastern … 5 (2012) 2, pp. 106-115

and the EGARCH model with dummy variables. Findings – Results reveal no change in market volatility following the partial …

Persistent link: https://www.econbiz.de/10014826551

Sport and emerging capital markets: market reaction to the 2022 World Cup announcement

Abuzayed, Bana - In: International Journal of Islamic and Middle Eastern … 6 (2013) 2, pp. 122-141

. Two testing methodologies are used in this study, event study as well as GARCH and EGARCH models. Additionally, sector …

Persistent link: https://www.econbiz.de/10014826571

Modeling of daily REIT returns and volatility

Asteriou, Dimitrios; Begiazi, Kyriaki - In: Journal of Property Investment & Finance 31 (2013) 6, pp. 589-601

starts with a CAPM model and continues with GARCH(1,1), TGARCH(1,1) and EGARCH(1,1) models for each of the REIT subcategories … with and without the days of the week as dummy variables. Findings – The results show that the best‐fitted model is EGARCH …

Persistent link: https://www.econbiz.de/10014898873

Further evidence on idiosyncratic risk and REIT pricing: a cross-country analysis

Mi, Lin; Benson, Karen; Faff, Robert - In: Accounting Research Journal 29 (2016) 1, pp. 34-58

Purpose The purpose of this study is to provide new cross-country evidence on the relation between real estate investment trust (REIT) returns and idiosyncratic risk for samples of listed and unlisted REITs in the US and Australia. Design/methodology/approach Five alternative models with...

Persistent link: https://www.econbiz.de/10014676784