Volatility forecasts of stock index futures in China and the US-A hybrid LSTM approach. [PDF]
PLoS One, 2022 Chen X, Hu Y.
europepmc +1 more source
Mean and variance causality between the Cyprus Stock Exchange and major equity markets [PDF]
This paper examines the issue of mean and variance causality across four equities markets using daily data for the period 1996-2002. We apply the testing procedure developed by Cheung and Ng (1996) in order to test for mean and variance spillovers.
Avo Kazandjian +3 more
core
VOLATILITY AND SPILL OVER EFFECTS IN INDIAN COMMODITY MARKETS: A CASE OF PEPPER [PDF]
Modeling of volatility has been felt one of the major academic contributions in Indian commodity futures market. We have selected black pepper as a commodity for estimating volatility and its spillover incorporating a series of models.
Dey Kushankur, Maitra Debasish
core
Volatility in metallic resources prices in COVID-19 and financial Crises-2008: Evidence from global market. [PDF]
Resour Policy, 2022 Xu Q, Meng T, Sha Y, Jiang X.
europepmc +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
Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. [PDF]
Comput Econ, 2022 Harb E, Bassil C, Kassamany T, Baz R.
europepmc +1 more source
Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models [PDF]
This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models.
Frimpong, Joseph Magnus +1 more
core +1 more source
Testing volatility and relationship among BRICS stock market returns. [PDF]
SN Bus Econ, 2022 Ganguly S, Bhunia A.
europepmc +1 more source
Option pricing for GARCH-type models with generalized hyperbolic innovations [PDF]
In this paper, we provide a new dynamic asset pricing model for plain vanilla options and we discuss its ability to produce minimum mispricing errors on equity option books.
Christophe Chorro +2 more
core
Determining the return volatility of the Ghana stock exchange before and during the COVID-19 pandemic using the exponential GARCH model. [PDF]
SN Bus Econ, 2023 Prempeh KB, Frimpong JM, Amaning N.
europepmc +1 more source