Similar Search Results

Determinants of CEE-4 Stock Market Integration

Baumöhl, Eduard - In: Politická ekonomie 2014 (2014) 3, pp. 347-365

Stock market integration of CEE-4 (the so-called Visegrad group or V4) and G7 countries is examined during the period from January 4, 1998 to August 5, 2012. As a proxy of integration we use dynamic conditional correlations estimated in the standard DCC and asymmetric DCC model framework. It is...

Persistent link: https://www.econbiz.de/10011228234

Determinanty integrácie akciových trhov krajín V4

Baumöhl, Eduard - In: Politická ekonomie : teorie, modelování, aplikace 62 (2014) 3, pp. 347-365

Persistent link: https://www.econbiz.de/10010415498

The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market

Worthington, Andrew C.; Higgs, Helen - 2004

conditional heteroskedasticity (GARCH) model is used to identify the magnitude and significance of mean and volatility spillovers … of strong ARCH and GARCH effects. Contrary to evidence from studies in North American electricity markets, the results …

Persistent link: https://www.econbiz.de/10009437450

Political news and stock market reactions: Evidence from Turkey over the period 2008-2017

Karime, Sleiman; Sayilir, Özlem - In: International Journal of Management and Economics 55 (2019) 2, pp. 83-98

nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …

Persistent link: https://www.econbiz.de/10015192170

Impact of COVID-19, political, and financial events on the performance of commercial banking sector

Ghouse, Ghulam; Bhatti, Muhammad Ishaq; Shahid, … - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-18

the GARCH model, which explains the current financial and political distress for the case of shocks from COVID-19. We …

Persistent link: https://www.econbiz.de/10014332387

COVID-19 pandemic & financial market volatility: Evidence from GARCH models

Khan, Maaz; Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, … - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-20

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … and for the whole period, each GARCH family evenly models the volatile behavior of the six financial markets. This study …

Persistent link: https://www.econbiz.de/10014332825

Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions

Belke, Ansgar; Gokus, Christian - 2011

. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …

Persistent link: https://www.econbiz.de/10010273568

Volatility patterns of CDS, bond and stock markets before and during the financial crisis: Evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

Persistent link: https://www.econbiz.de/10010327303

The dynamics of trading duration, volume and price volatility: A vector MEM model

Xu, Yongdeng - 2013

We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure research, by allowing interdependence among the variables...

Persistent link: https://www.econbiz.de/10010397723

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 07 (2016) 1, pp. 311-332

results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day …

Persistent link: https://www.econbiz.de/10011961644