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On the Invertibility of EGARCH(p,q)

Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised: February 2015

Persistent link: https://www.econbiz.de/10011346214

On the invertibility of EGARCH(p, q)

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

Modellierung von Kapitalmarktvolatilität mittels fehlspezifizierter GARCH(p,q)-Prozesse

Schmidt, Michael - 2000

Persistent link: https://www.econbiz.de/10013360888

Forecasting VIX using two-component realized EGARCH model

Wu, Xinyu; Zhao, An; Liu, Li - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014484064

Are there return and volatility spillovers from major bank stocks to the national stock market in the UK?

Dontis-Charitos, Panagiotis; Gough, Orla; Nowman, K. Ben; … - In: Global banking, financial markets and crises, (pp. 243-268). 2013

We investigate the return and volatility spillovers from major UK banks to Financial Times Stock Exchange 100 (FTSE 100 …–2009 global financial crisis, empirical estimates of uni- and/or bi-directional return and volatility spillovers are provided. The … the FTSE. Nevertheless, strong bi-directional volatility transmission is verified. The continuous time analysis provides …

Persistent link: https://www.econbiz.de/10015370264