The day of the week effects in Indonesia, Singapore, and Malaysia stock market [PDF]
Efficient market stated that stock’s return is indifferent in each trading day. But, the day of the week effects phenomenon made a different return in each single day in a week.
Anwar, Yunita, Mulyadi, Martin Surya
core +1 more source
News Media as a Channel of Environmental Information Disclosure: Evidence from an EGARCH Approach [PDF]
This paper incorporates EGARCH modeling in a financial event study relating firm value to negative environmental news. News media provide informal information channels unlike formal government disclosure programs.
David I. Stern +2 more
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Can Merchant Interconnectors Deliver Lower and More Stable Prices? The Case of NorNed [PDF]
, 2009 core +2 more sources
GARCH models with leverage effect : differences and similarities [PDF]
In this paper, we compare the statistical properties of some of the most popular GARCH models with leverage effect when their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions.
Esther Ruiz, María José Rodríguez
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The Information Content of Implied Volatility in the Hong Kong and Singapore Covered Warrants Markets [PDF]
This paper examines the informational content and predictive power of implied volatility over different forecasting horizons in a sample of European covered warrants traded in the Hong Kong and Singapore markets.
Cheny Chen, Hoa Nguyen, Ming-Hua Liu
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Energy InformaticsFocusing on the Russia–Ukraine war, this paper investigates natural gas futures volatilities. Applying several hybrid GARCH and EGARCH models, which innovatively incorporate both fat-tailed distribution errors and structural breaks, we derive the ...
Chikashi Tsuji
doaj +1 more source
نمذجة تقلبات العوائد اليومية لمؤشر DAX30 باستخدام نموذج EGARCH
, 2020 تتميّز السلاسل المالية عن باقي السلاسل الزمنية بمجموعة من الخصائص فغالبا ما تكون سلسلة أسعار الأصول غير مستقرة بينما سلسلة عوائد هذه الأصول تكون مستقرة ،كما أنها تمتاز بخاصية تجمع التقلبات أما توزيعها فله ذيول سميكة وتفرطح حاد بالإضافة إلى أنها تحتوي على أثر الرافعة المالية.
openaire +1 more source
Model Selection and Testing of Conditional and Stochastic Volatility Models [PDF]
This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and ...
Caporin, M., McAleer, M.J.
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What Drives International Equity Correlations? Volatility or Market Direction? [PDF]
We consider impulse response functions to study the impact of both return and volatility on correlation between international equity markets. Using data on US (as the reference country), Canada, UK and France equity indices, empirical evidence shows that
Abderrahim Taamouti +2 more
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OVERCONFIDENCE BIAS: EXPLANATION OF MARKET ANOMALIES FRENCH MARKET CASE [PDF]
In this study, we test whether the overconfidence bias explains several stylized market anomalous, including a short-term continuation (momentum), a long-term reversal in stock returns, high levels of trading volume and excessive volatility.
Abdelfettah BOURI +2 more
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