Results 191 to 200 of about 12,191 (249)

Backtesting VaR under the COVID-19 sudden changes in volatility. [PDF]

Financ Res Lett, 2021
Castillo B, León Á, Ñíguez TM.
europepmc   +1 more source

Long memory properties and covariance structure of the EGARCH model [PDF]

, 2002
Донатас Сургайлис, Marie‐Claude Viano   +1 more
openalex   +1 more source

Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]

PLoS One
Siddiqui N, Mohamad Hasim H.
europepmc   +1 more source

What matters for The Bitcoin Price and Volatility during the Covid-19 Pandemic: Social Media based- Evidence

, 2023
Mgadmi N.
europepmc   +1 more source

Liquidity Risk Measurement of Commercial Bank based on EGARCH-POT Model

, 2013
Liang Wang, Chongzhen Huang
openalex   +1 more source

Navigating Ghana's economic waters: Exploring the impact of Fiscal and Monetary policies on stock market performance. [PDF]

Heliyon
Cobbinah BB, Wen Y, Sarpong FA.
europepmc   +1 more source

An assessment of volatility and leverage effect before and during the period of Covid-19: a study of selected international stock markets

, 2022
Bhunia A, Ganguly S.
europepmc   +1 more source

Seasonal Patterns of Inflation Uncertainty for the US Economy: An EGARCH Model Results

, 2010
Hakan Berument, Nezir Köse, Afşin Şahin   +2 more
openalex   +1 more source

Noise Created Through the Interactions of Arbitrageurs and Noise Traders in the FOREX Market. An Analysis Based on ARCH, GARCH, TGARCH and EGARCH Models

, 2018
Michel Guirguis
openalex   +1 more source

Measuring Leverage Effect of Covid-19 on Stock Price Volatility of Energy Companies Using High Frequency Data

, 2021
Meher BK, Hawaldar IT, Gil MT, Deebom, Dum Z.   +4 more
europepmc   +1 more source