Results 21 to 30 of about 1,495 (237)
International Journal of Financial Studies, 2021 This study investigated the impact of the introduction of the VN30-Index futures contract on the daily returns anomaly for the Ho Chi Minh Stock Exchange (HOSE).
Loc Dong Truong, H. Swint Friday
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ANALISIS EFEK MUSIM HUJAN DAN KEMARAU TERHADAP HARGA BERAS
Jurnal Manajemen Industri dan Logistik, 2018 This study analyzes the effects of the rainy and dry seasons on rice prices. Autoregressive and Moving Average (ARMA) and Autoregressive Conditional Heteroskedasticity / Generalized Autoregressive Conditional Heteroskedasticity (ARCH / GARCH) with a ...
Kumara Jati
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Generalized Autoregressive Conditional Heteroskedasticity [PDF]
Journal of Econometrics, 1986 Abstract A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived.
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Are soft commodities markets affected by the Halloween effect?
Agricultural Economics (AGRICECON), 2021 Within the last three decades commodity markets, including soft commodities markets, have become more and more like financial markets. As a result, prices of commodities may exhibit similar patterns or anomalies as those observed in the behaviour of ...
Monika Krawiec, Anna Górska
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How influential is monetary policy on Ibovespa returns and volatility? [PDF]
EconomiAPurposeIs monetary policy neutral to Ibovespa index returns and volatility? To approximate neutrality, the Brazilian Government has implemented a system in which the financial sector’s economic agents contribute to their daily predictions about future ...
Joilson Giorno +2 more
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Mathematics, 2022 This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets.
Shay Kee Tan +2 more
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Functional Generalized Autoregressive Conditional Heteroskedasticity
Journal of Time Series Analysis, 2016 Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of autoregressive conditional heteroskedastic and generalized autoregressive conditional heteroskedastic (GARCH) processes.
Aue, Alexander +2 more
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Modeling Contagion of Financial Markets: A GARCH-EVT Copula Approach
Engineering Proceedings, 2023 To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using ...
Gueï Cyrille Okou, Amine Amar
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A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA
Buletin Ekonomi Moneter dan Perbankan, 2019 We test whether the Indonesian foreign exchange market is efficient. Since empirical evidence has been inconclusive, we employ a new generalized autoregressive conditional heteroskedasticity–based unit root test to examine the Efficient Market Hypothesis
Bernard Njindan Iyke
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Modeling the interaction across international conventional and Islamic stock indices
Cogent Economics & Finance, 2021 Islamic financial instruments have been experiencing rapid growth in the last 50 years. Despite the unique motivation in formulating them, namely based on Syariah law, their movement might link to those of the conventional ones.
Abdul Hakim +3 more
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