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GARCH modelling of high-capitalization cryptocurrencies' impacts during bearish markets

Panagiotis, Anastasiadis; Efthymios, Katsaros; … - In: Journal of Central Banking Theory and Practice 9 (2020) 3, pp. 87-106

, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 …

Persistent link: https://www.econbiz.de/10014558497

The hedging effectiveness of DAX futures

Lypny, G.; Powalla, M. - In: The European Journal of Finance 4 (1998) 4, pp. 345-355

and shows that the application of a dynamic hedging strategy based on a GARCH(1,1) covariance structure, combined with an … simple constant hedge and over a dynamic hedge with the error correction but without the GARCH(1,1) covariance structure. A …

Persistent link: https://www.econbiz.de/10005438023

Time varying country risk: an assessment of alternative modelling techniques

Brooks, R. D.; Faff, R. W.; McKenzie, M. - In: The European Journal of Finance 8 (2002) 3, pp. 249-274

Three different techniques for the estimation of a time-varying beta are investigated: a bivariate GARCH model, the … performance of each of these methods for generating conditional beta suggest that the GARCH-based estimates of risk generate the …

Persistent link: https://www.econbiz.de/10005438031

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger; Mittnik, Stefan - In: The European Journal of Finance 8 (2002) 3, pp. 302-321

, such as GARCH models, are investigated to determine if they are more appropriate for predicting future return volatility …

Persistent link: https://www.econbiz.de/10005438047

Pouvoir predictif de la volatilite implicite dans le prix des options de change

Rzepkowski, Bronka - Centre d'études prospectives et d'informations … - 2001

Les marches derives ont connu une tres forte expansion ces dernieres annees. Une large variete d'options et de futures sont quotidiennement echanges sur indices boursiers, taux d'interet, obligations et devises. Ces marches, en traitant l'information disponible plus rapidement que les marches au...

Persistent link: https://www.econbiz.de/10005406533

Time-varying risk in the German stock market

Scheicher, Martin - In: The European Journal of Finance 6 (2000) 1, pp. 70-91

This paper compares two specifications of the Capital Asset Pricing Model for a sample of German stocks. The specifications generate time-varying first and second moments by conditioning on past information. This explicit modelling of the time series behaviour of risk allows us to characterize...

Persistent link: https://www.econbiz.de/10005471966

Modelos EGARCH Aplicados a la prueba del CAPM y los Modelos multifactoriales párrafo Acciones colombianas (2002-2008)

Mejía, Alberto Gómez - In: REVISTA EQUIDAD Y DESARROLLO (2008)

La Aplicación de Modelos EGARCH a la prueba del CAPM párr Colombia permite concluir Que Este sí da Bajo conditions de Alta volatilidad Y Que Se Puede utilizar Como Herramienta para el Análisis Financiero y las Proyecciones de Rentabilidad de Activos Financieros y reales. Igualmente, los...

Persistent link: https://www.econbiz.de/10010763602

Couverture du risque de volatilité et de corrélation dans un portefeuille

Malongo, Hassan - Université Paris-Dauphine (Paris IX) - 2014

literature review of univariate and multivariate GARCH-type models, the author establishes results for the existence and …

Persistent link: https://www.econbiz.de/10010938598

Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence

ROCKINGER, Michael; JONDEAU, Eric - HEC Paris (École des Hautes Études Commerciales) - 2000

framework builds on a GARCH model with a conditional generalized-t distribution for residuals. We compute the skewness and …

Persistent link: https://www.econbiz.de/10005011513

Extração da Volatilidade do Ibovespa

Souza-Sobrinho, Nelson - Volkswirtschaftliche Fakultät, … - 2001

models of the GARCH family and models of stochastic volatility (SV). Most model selection and performance criteria suggest …

Persistent link: https://www.econbiz.de/10005025693