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Nigerian Stock Index : a search for optimal GARCH model using high frequency data

Yaya, OlaOluwa S. - In: CBN journal of applied statistics 4 (2013) 2, pp. 69-85

This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally...

Persistent link: https://www.econbiz.de/10011474661

A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400

Persistent link: https://www.econbiz.de/10012814585

Economic policy uncertainty and bank-level stock returns volatility of the United States : a mixed-frequency perspective

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Bouri, Elie - 2024

Persistent link: https://www.econbiz.de/10015080002

Climate risks and the REITs market

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Vo Xuan Vinh - 2025

Persistent link: https://www.econbiz.de/10015375458

Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014505054

Tail risks and forecastability of stock returns of advanced economies : evidence from centuries of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula Ephraim - In: The European journal of finance 29 (2023) 4, pp. 466-481

Persistent link: https://www.econbiz.de/10014322538

Geopolitical risk and stock market volatility in emerging markets : a GARCH - MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Lasisi, … - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013538937

Sectoral corporate profits and long-run stock return volatility in the United States : a GARCH-MIDAS approach

Salisu, Afees A.; Isah, Kazeem O.; Ogbonna, Ahamuefula … - In: Journal of forecasting 44 (2025) 2, pp. 623-634

Persistent link: https://www.econbiz.de/10015374070

How Do Stocks in BRICS Co-Move With REITs?

Gil-Alana, Luis A. - 2019

This paper investigates BRIC markets' integration and segmentation between REITs and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional...

Persistent link: https://www.econbiz.de/10012888782

Tail risk dependence, co-movement and predictability between green bond and green stocks

Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Applied economics 55 (2023) 2, pp. 201-222

Persistent link: https://www.econbiz.de/10013494416