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A One Line Derivation of EGARCH [PDF]
Econometrics, 2014 One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of ...
Michael McAleer, Christian M. Hafner
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Monetary behavior theory in long-term and turbulent conditions on the Russian Ruble [PDF]
Mathematics and Modeling in Finance, 2022 In this study, based on the monetary behavior theory, which considers the mean and standard deviation of GDP per capita besides the inflation difference between two countries, we first present a model for determining the fair value of the Russian ruble ...
Farzad Jafari +4 more
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Comparing various GARCH-type models in the estimation and forecasts of volatility of S&P 500 returns during Global Finance Crisis of 2008 and COVID-19 financial crisis [PDF]
SHS Web of Conferences, 2023 In this study, we utilize various GARCH-type models to estimate and forecast volatility on S&P 500 returns and compare the results between the two financial crises, the GFC of 2008 (Global Financial Crisis of 2008) and the COVID-19 financial crisis ...
Chen Xuanyu
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A comparison of international market indices for measuring market efficiency based on price-volume relationship [PDF]
Journal of Capital Markets Studies, 2022 Purpose – The main purpose of the research is to determine if the relationship between trading volume and price changes is connected to market effectiveness and to use the volume-price relationship to compare the efficiency levels of foreign markets. The
Sunay Çıralı
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Buletin Ekonomi Moneter dan Perbankan, 2023 This study analyzes the effect of the COVID-19 pandemic on the risks of gold, stocks, and the US dollar investments as well as risk comparison among those instruments. An EGARCH model is used to accommodate the asymmetric effect on the risks.
Meinisa Fadillah Rahmi +1 more
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Multivariate Asymmetric GARCH Model with Dynamic Correlation Matrix
Финансы: теория и практика, 2022 This study examines the problem of modeling the joint dynamics of conditional volatility of several financial assets under an asymmetric relationship between volatility and shocks in returns (leverage effect).
Ju. S. Trifonov, B. S. Potanin
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Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka [PDF]
Colombo Business Journal, 2020 The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions.
H. A. P. K. Perera
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Margin Setting to Short and Long Futures Contract Positions by Coherent Risk Measures [PDF]
Journal of Asset Management and Financing, 2018 This study, using gold coin spot price returns, in the period from 2008 to 2016, estimates and compares IME gold coin futures contracts short and long positions initial margin by coherent risk measures, specially Expected Shortfall and spectral risk ...
Ali Saghafi +2 more
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The effect of Sectoral output Volatility on Economic growth in Ethiopia
Journal of Economics, Business & Accountancy Ventura, 2021 This study examined the effect of sectoral output volatility on economic growth and the determinants of economic growth in the Ethiopian economy. The study used annual time series data spanning from 1981 to 2018 and included capital stock, working-age ...
Adisu Abebaw Degu
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Studies in Business and Economics, 2022 This study analyzes the effect of housing prices on banking performance in Korea. The findings of the study reveal that the impact of housing price changes on banking performance was different in the commercial banks, regional banks and specialized banks.
Heonyong Jung
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