Results 101 to 110 of about 11,262 (157)

Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn? [PDF]

, 2005
This paper studies the impact of daily official foreign exchange interventions on the exchange rates of two EU candidate countries, namely Croatia and Turkey for the periods from 1996 to 2004 and from 2001 to 2004, respectively.
Lang, Maroje, Égert, Balázs
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Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO [PDF]

Prices in the hog industry in Taiwan are determined according to an auction system. There are significant differences in hog prices before, during and after joining the World Trade Organization (WTO). The paper models growth rates and volatility in daily
Chang, C-L., Chen, M.-G., Huang, B-W.
core   +1 more source

Dynamic linkages of stock prices among G7 countries: effects of the American financial crisis [PDF]

In this paper, we use the cross-correlation function developed by Cheung and Ng (1996) to investigate the dynamic linkages among G7 countries in the mean and volatility of stock prices from June 2, 2003, through July 31, 2010.
Haifeng Xu, Shigeyuki Hamori
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"Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan" [PDF]

This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand , respectively.
Chia-Lin Chang, Christine Lim, Michael McAleer   +2 more
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Modelling International Tourist Arrivals and Volatility: An Application to Taiwan [PDF]

International tourism is a major source of export receipts for many countries worldwide. Although it is not yet one of the most important industries in Taiwan (or the Republic of China), an island in East Asia off the coast of mainland China (or the ...
Chia-Lin Chang, Dan Slottje, Michael McAleer   +2 more
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Beta-t-(E)GARCH [PDF]

, 2008
Harvey, AC
core   +1 more source

Delta-neutral volatility trading with intra-day prices: an application to options on the DAX [PDF]

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX.
Kaehler, Jürgen, Schmitt, Christian
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Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility [PDF]

This paper examines the asymmetric response of equity volatility to return shocks. We generalize the news impact function (NIF), originally introduced by Engle and Ng (1993) to study asymmetric volatility under the ARCH-type models, to be applicable to ...
Jun Yu
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PENERAPAN MODEL EGARCH PADA ESTIMASI VOLATILITAS HARGA MINYAK KELAPA SAWIT

E-Jurnal Matematika, 2015
Good news and bad news (commonly known as the asymmetric effect) on the price of palm oil, has been the grounds of palm oil price volatility. Estimation of volatility needs to be conducted for the purposes of advance financial analysis namely computation
YOSEVA AGUNG PRIHANDINI, KOMANG DHARMAWAN, KARTIKA SARI   +2 more
doaj  

Koşullu Değişen Varyans Modelleri ile Volatilite Yapısı Analizi: Katılım 30 ve Katılım 50 Endeksleri Üzerine Bir Uygulama

Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
Çalışmanın amacı, Borsa İstanbul’da (BIST) işlem gören Katılım 30 ve Katılım 50 endekslerinin volatilite yapılarını açıklayan en uygun modeli belirlemektir.
Turan Öndeş, Muhammet Levet
doaj   +1 more source