Results 21 to 30 of about 505,642 (295)
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
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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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Exponential Conditional Volatility Models [PDF]
, 2010 The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven
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Long memory conditional volatility and asset allocation [PDF]
International Journal of Forecasting, 2011 In this paper, we evaluate the economic benefits that arise from allowing for long memory in forecasting the covariance matrix of returns over both short and long horizons, using the asset allocation framework of Engle and Colacito (2006). In particular, we compare the statistical and economic performance of four multivariate long memory volatility ...
Harris, Richard D. F., Nguyen, Anh
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Does Changes in Characteristics of a Fixed Exchange Rate Regime Impact Conditional Volatility? Evidence from the Case of Morocco [PDF]
Statistika: Statistics and Economy Journal, 2020 This article aims to exhibit and study the impacts that changing characteristics of a fixed exchange rate regime has on conditional volatility. To do so, using the U.S.
Hamza Bouhali +2 more
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AGROMIX, 2022 Introduction: Most food commodity prices on the world market increased drastically in late 2006 to mid 2008. The increase in food prices in 2008 was triggered by the global crisis.
Prasmita Dian Wijayati +2 more
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Evidence of element volatility at ambient conditions [PDF]
, 2021 Abstract Tailings represent a significant risk to the environment globally, but very little is known about the composition of the near-surface air. We conducted the laboratory experiments to determine the sizes of the particles and the chemical composition of the flow above the mine waste.
Nataliya V. Yurkevich +6 more
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Bivariate Volatility Modeling with High-Frequency Data
Econometrics, 2019 We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
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Idiosyncratic Volatility, Conditional Liquidity and Stock Returns [PDF]
SSRN Electronic Journal, 2016 There is strong evidence showing that stocks with higher levels of idiosyncratic risk provide relatively lower returns than stocks with lower levels of it. This paper points out that this negative idiosyncratic risk - expected returns relation is not pervasive over time, and provides a plausible explanation for its time-varying nature.
Malagon, Juliana +2 more
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Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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