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The impact of natural events and disasters on the Australian stock market : a GARCH-M analysis of storms, floods, cyclones, earthquakes and bushfires
Worthington, Andrew Charles - In: Global business & economics review 10 (2008) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10003688416
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A multivariate GARCH analysis of equity returns and volatility in Asian equity markets
Worthington, Andrew Charles; Higgs, Helen - 2001
Persistent link: https://www.econbiz.de/10001601635
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Macroeconomic risk factors in Australian real estate, listed property trust & property sector stock returns : a comparative analysis using GARCH-M
West, Tracey; Worthington, Andrew Charles - 2003
Persistent link: https://www.econbiz.de/10001812625
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The relationship between energy spot and futures prices : evidence from the Australian electricity market
Worthington, Andrew Charles; Higgs, Helen - 2002
Persistent link: https://www.econbiz.de/10001715952
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Time-varying market, interest rate and exchange rate risk in Australian bank portfolio stock returns : a Garch-M approach
Ryan, Suzanne K.; Worthington, Andrew Charles - 2002
Persistent link: https://www.econbiz.de/10001677735
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Transmission of returns and volatility in art markets : a multivariate GARCH analysis
Higgs, Helen; Worthington, Andrew Charles - In: Applied economics letters 11 (2004) 4, pp. 217-222
Persistent link: https://www.econbiz.de/10002001478
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Macroeconomic Risk Factors in Australian Commercial Real Estate, Listed Property Trust and Property Sector Stock Returns : A Comparative Analysis Using Garch-M
West, Tracey - 2012
This paper employs a Generalized Autoregressive Conditional Heteroskedasticity in Mean (GARCH-M) model to consider the effect of macroeconomic factors on Australian property returns over the period 1985 to 2002. Three direct (office, retail and industrial property) and two indirect (listed...
Persistent link: https://www.econbiz.de/10013102073
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Transmission of prices and price volatility in Australian electricity spot markets : a multivariate GARCH analysis
Worthington, Andrew Charles; Kay-Spratley, Adam; Higgs, … - 2002
Persistent link: https://www.econbiz.de/10001683703
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Transmission of prices and price volatility in Australian electricity spot markets : a multivariate GARCH analysis
Worthington, Andrew Charles; Kay-Spratley, Adam; Higgs, … - In: Energy economics 27 (2005) 2, pp. 337-350
Persistent link: https://www.econbiz.de/10002875191