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This study employs an extended version of the Generalised Autoregressive Conditional Heteroskedasticity in Mean (GARCH …
Persistent link: https://www.econbiz.de/10005766341
The investment of pension assets is one of the core functions performed by private pension arrangements. In order to promote both the performance and the financial security of pension plan benefits, it is critical that this function is implemented and managed responsibly. Policymakers have...
Persistent link: https://www.econbiz.de/10004995303
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foreign exchange rate risks in a time-varying framework employing the GARCH approach. The empirical evidence reveals that … time-varying estimation confirms that the bank stock-return-generating process follows the GARCH model and that volatility …
Persistent link: https://www.econbiz.de/10010897720
A two-part process is employed to analyse the role of efficiency in merger and acquisition (M&A) activity in Australian credit unions during the period 1993 to 1997. The measures of efficiency are derived using the nonparametric technique of data envelopment analysis. The first part uses panel...
Persistent link: https://www.econbiz.de/10009437469
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the Bayesian DCC M‐GARCH model. Our findings reveal that stock price sensitivities change over time and that, on average …
Persistent link: https://www.econbiz.de/10013380592
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, Weighted Least Square (WLS) and Generalize Auto Regression Conditional Heteroskedasticity - GARCH (1,1) estimation model is …
Persistent link: https://www.econbiz.de/10011112981