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A reality check on the GARCH-MIDAS volatility models

Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021

Persistent link: https://www.econbiz.de/10012604771

A reality check on the GARCH-MIDAS volatility models

Virk, Nader; Javed, Farrukh; Awartani, Basel; Hyde, Stuart - In: The European journal of finance 30 (2024) 6, pp. 575-596

Persistent link: https://www.econbiz.de/10014547966

European equity market integration and joint relationship of conditional volatility and correlations

Virk, Nader; Javed, Farrukh - In: Journal of international money and finance 71 (2017), pp. 53-77

Persistent link: https://www.econbiz.de/10011787669

Bitcoin and integration patterns in the forex market

Virk, Nader - In: Finance research letters 44 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014494907

Effect of jumps on causation patterns : an international investigation

Javed, Farrukh - In: International journal of computational economics and … 3 (2013) 3/4, pp. 187-204

Persistent link: https://www.econbiz.de/10010348509

Sensitivity of the Causality in Variance Test to the Garch (1,1) Parameters

Javed, Farrukh - 2011

We discuss the sensitivity to the GARCH (1,1) parameters in the causality of variance tests. The motivation behind the study is to observe the impact of different volatile data sets on volatility spillover tests. We investigate a data generating process AR(1)-GARCH (1,1) with an extensive set of...

Persistent link: https://www.econbiz.de/10013124380

Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity

Javed, Farrukh; Kiss, Tamás; Österholm, Pär - In: Applied economics 54 (2022) 58, pp. 6669-6686

Persistent link: https://www.econbiz.de/10013494234

Directional spillovers from the US and the Saudi market to equities in the Gulf Cooperation Council countries

Awartani, Basel; Maghyereh, Aktham I.; Al Shiab, Mohammad - In: Journal of international financial markets, … 27 (2013), pp. 224-242

Persistent link: https://www.econbiz.de/10010411742

Dynamic transmissions between the U.S. and equity markets in the MENA countries : new evidence from pre- and post-global financial crisis

Maghyereh, Aktham I.; Awartani, Basel; Hilu, Khalil Al - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 123-138

Persistent link: https://www.econbiz.de/10011574365

Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries

Awartani, Basel; Maghyereh, Aktham I. - In: Energy economics 36 (2013), pp. 28-42

Persistent link: https://www.econbiz.de/10009724768