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Asymmetries in conditional mean and variance

Brännäs, Kurt; Gooijer, Jan G. de - 2000

Persistent link: https://www.econbiz.de/10001484276

Influence of news from Moscow and New York on returns and risks of Baltic States' stock markets

Brännäs, Kurt; Saultanaeva, Albina - In: Baltic journal of economics 11 (2011) 1, pp. 109-124

Persistent link: https://www.econbiz.de/10009261174

Simultaneity and asymmetry of returns and volatilities : the emerging Baltic States’ stock exchanges

Brännäs, Kurt; Gooijer, Jan G. de; Lönnbark, Carl; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10009521663

Influence of news in Mosco and New York on returns and risks on Baltic state stock indices

Brännäs, Kurt (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003370310

Simultaneity and asymmetry of returns and volatilities in the emerging Baltic state stock exchanges

Brännäs, Kurt; Gooijer, Jan G. de; Lönnbark, Carl; … - 2007

Persistent link: https://www.econbiz.de/10003572087

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Time series modelling of daily Metical/Rand exchange rate returns, 1996–2014

Brännäs, Kurt; Machava, Agostinho - 2015

Persistent link: https://www.econbiz.de/10010530038