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Modelling stock market volatility : bridging the gap to continuous time

Rossi, Peter E. (ed.) - 1996

Persistent link: https://www.econbiz.de/10013475092

A note on the use of the Box-Cox transformation for financial data

Kartsonakis-Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of computational economics and … 10 (2020) 4, pp. 419-422

Persistent link: https://www.econbiz.de/10012507555

Modelling the oil price volatility and macroeconomic variables in South Africa using the symmetric and asymmetric GARCH models

Sekati, Boitumelo Nnoi Yolanda; Tsoku, Johannes Tshepiso; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

This article employed the ARCH, GARCH and EGARCH models to model the oil price volatility and macroeconomic variables … should have a view on the impact of oil price volatility on the South African economy. …

Persistent link: https://www.econbiz.de/10013179478

Nonparametric panel data model for crude oil and stock market prices in net oil importing countries

Silvapulle, Paramsothy; Smyth, Russell; Zhang, Xibin; … - In: Energy economics 67 (2017), pp. 255-267

Persistent link: https://www.econbiz.de/10011897918

Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133

Persistent link: https://www.econbiz.de/10011663878

Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market

Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60

Persistent link: https://www.econbiz.de/10012436893

Impact of COVID-19 on global stock market volatility

Kusumahadi, Teresia Angelia; Permana, Fikri C. - In: Journal of economic integration : jei 36 (2021) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012593273

Capturing the stock market volatility : a study of sectoral indices in India using symmetric GARCH models

Khera, Aastha; Goyal, Anisha; Yadav, Miklesh Prasad - In: International journal of management practice : IJMP 15 (2022) 6, pp. 820-833

Persistent link: https://www.econbiz.de/10013415146

Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach

Psaradakis, Zacharias G.; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000906276

Volatilitätsprozesse mit Faktor-GARCH-Modellen : eine empirische Studie für den deutschen Aktienmarkt

Kaiser, Thomas - 1997

Persistent link: https://www.econbiz.de/10000971500