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Ngo, Thanh - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 249-258

Persistent link: https://www.econbiz.de/10011792332

Volatility dynamics and volatility forecasts of equity returns in BRIC countries

Romero, Alfredo A.; Kasibhatla, Krishna Moorti - In: The journal of business and economic studies 19 (2013) 1, pp. 52-70

Persistent link: https://www.econbiz.de/10009776446

Volatility transmission between stock market and foreign exchange returns : evidence from Botswana, Kenya and South Africa

Braha, Emmanuel Anoruo Habtu - In: African journal of business and economic research : AJBER 6 (2011) 2/3, pp. 73-91

Persistent link: https://www.econbiz.de/10009707921

Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market

Karunanayake, Indika - In: Review of applied economics 10 (2014) 1/2, pp. 83-97

Persistent link: https://www.econbiz.de/10010506487

Market, interest rate, and exchange rate risk effects on financial stock returns during the financial crisis : AGARCH-M approach

Mouna, Aloui; Anis, Jarboui - In: Cogent economics & finance 4 (2016) 1, pp. 1-16

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …

Persistent link: https://www.econbiz.de/10011450341

The price of BitCoin : GARCH evidence from high frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2018

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and speculative demand equations in a GARCH...

Persistent link: https://www.econbiz.de/10011948479

An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns

Ojeda Cunya, Junior Alex; Rodriguez, Gabriel - In: Macroeconomics and finance in emerging market economies 9 (2016) 1/3, pp. 34-55

Persistent link: https://www.econbiz.de/10011583531

Day-of-the-week anomaly : an illusion or a reality? ; evidence from Naira/Dollar exchange rates

Osabuohien-Irabor, Osarumwense - In: CBN journal of applied statistics 7 (2016) 1, pp. 311-332

), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical …-of-theweek effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day …

Persistent link: https://www.econbiz.de/10011535278

Exchange rate influences on stock market returns and volatility dynamics : empirical evidence from the Australian stock market

Karunanayake, Indika - In: Journal of international economic review 9 (2016) 2, pp. 225-239

Persistent link: https://www.econbiz.de/10011673059

Puzzling premiums on FX markets : carry trade, momentum, and value alone and strategy diversification

Mikova, Evgeniya; Teplova, Tamara V.; Munir, Qaiser - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 1, pp. 126-148

Persistent link: https://www.econbiz.de/10012211227