Results 1 to 10 of about 525,958 (299)
Asymmetry and Leverage in Conditional Volatility Models [PDF]
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
exaly +10 more sources
Economic Journal of Emerging Markets, 2011 This paper uncovers the nature of conditional correlations between and volatility spillovers across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and Thailand.
Abdul Hakim
doaj +9 more sources
A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries [PDF]
Journal of Economics Finance and Administrative Science, 2017 Purpose - This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank ...
Nara Rossetti +2 more
doaj +1 more source
The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence
Mathematics, 2021 This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices.
Laura Ballester +2 more
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Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market
SAGE Open, 2022 The primary objective of this paper is to empirically examine the nature and statistical significance of the news effect on conditional volatility of unpredictable components of stock returns.
Shekar Bose, Hafizur Rahman
doaj +1 more source
Analyzing the Causal Relations between Trading Volume and Stock Returns and between Trading Volume and Return Volatility in Tehran Stock Exchange [PDF]
Iranian Journal of Finance, 1999 Identifying the causal relations between trading volume and stock returns and between trading volume and return volatility plays a vital role in identifying profitable investment opportunities.
Mohammad Reza Rostami +2 more
doaj +1 more source
Cogent Economics & Finance, 2023 This study examines the impact of political instability on inflation volatility in the Middle East and North Africa (MENA) region. First, it analyzes the multidimensionality of political instability by adopting a factor analysis technique and finds five ...
Afnan Ghanayem +2 more
doaj +1 more source
Economies, 2018 This study investigates the impact of commodity price volatility spillovers on financial sector stability. Specifically, the study investigates the spillover effects between oil and food price volatility and the volatility of a key macroeconomic ...
Lorna Katusiime
doaj +1 more source
Borsa Istanbul Review, 2014 The aim of this study is to construct a model for evaluating the effects of investor sentiment on the conditional volatility by measuring the effects of noise trader demand shocks on returns and volatility where EGARCH model is used to determine whether ...
Utku Uygur, Oktay Taş
doaj +1 more source
İstanbul İktisat Dergisi, 2019 Foreign currency usage (as deposits and loans) of the Turkish banking system (dollarization) has gradually decreased from 50 percent in 2003 to 30 percent in 2010.
Süleyman Hilmi Kal
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