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An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model
2014This paper examines contagion risk among both current Eurozone Crisis and Asian Crisis in 1997 with daily stock prices during the crisis periods. Three types of financial markets are included to check the risk spillover, which are developed countries (G7 group), emerging countries (BRICs countries) and benchmark countries (Spain, Portugal, Greece and ...
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Estimating yield spreads volatility using GARCH-type models
North American Journal of Economics and Finance, 2021Hojin Jung, Jong-Min Kim
exaly
Persistence in Variance, Structural Change, and the GARCH Model
Journal of Business and Economic Statistics, 1990William D Lastrapes
exaly
2024 International Conference on Computing, Sciences and Communications (ICCSC)
Priyank Kulshreshtha +4 more
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Priyank Kulshreshtha +4 more
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Air cargo traffic forecasting model: An empirical study in Vietnam using the SARIMA-X/(E)GARCH model
Research in Transportation Business & ManagementQuang Hai Nguyen +2 more
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Augmented GARCH (p,q) process and its diffusion limit
Journal of Econometrics, 1997Jin-Chuan Duan
exaly
Closing the GARCH gap: Continuous time GARCH modeling
Journal of Econometrics, 1996Bas J M Werker, Feike C Drost
exaly