Results 21 to 30 of about 11,262 (157)
Modeling the volatility of Banks index returns for the Saudi stock exchange using EGARCH model [PDF]
مجلة الاجتهاد للدراسات القانونية والاقتصادية, 2021 This study aims to model and measures the volatility of the returns of the banking sector in the Saudi stock exchange. The study used the exponential generalized autoregressive conditional heteroskedastic (EGARCH) model. The banking sector index (TBNI),
MANSOURI hadj moussa, GUENNOUN Abdelhak
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Modeling Long Memory and Regime Switching with an MRS-FIEGARCH Model: A Simulation Study
Axioms, 2023 Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could be distinguished.
Caixia Zhang, Yanlin Shi
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Oil Price Volatility and Business Cycles in Nigeria
Studies in Business and Economics, 2018 The effect of oil price volatility on the business cycle (measured as fluctuations in real GDP) in Nigeria is investigated, while controlling for effects of other variables such as inflation, exchange rate, money supply, trade openness and foreign direct
Aigheyisi Oziengbe Scott
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Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach [PDF]
AccountingThis paper analyses the causal relationship between Foreign Portfolio Investment (FPI), Equities Market Volatility, Exchange Rate and Inflation in Zimbabwe using a monthly time series data between October 2018 and November 2021.
Talent Kondo +3 more
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Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH Models: Foreign Exchange Market Forecast
Revista Mexicana de Economía y Finanzas Nueva Época REMEF, 2023 This article discusses a comparison of the GARCH and EGARCH conditional variance methods, with respect to the Fuzzy Gaussian GARCH and Fuzzy Gaussian EGARCH.
José Eduardo Medina Reyes +2 more
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Investigating the sources of Black’s leverage effect in oil and gas stocks
Cogent Economics & Finance, 2017 The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility ...
Muhammad Surajo Sanusi
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The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks
Studies in Business and Economics, 2016 This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’
Priti Verma
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Ramanujan International Journal of Business and Research, 2017 The public sector banks in India play dominant role in deposit mobilisation and loan advancement to masses due to their capital potency, technological advancement and financial inclusion ideology.
Dr. Vandana Dangi
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Trends in Business and EconomicsBu çalışmada özellikle gelişmekte olan ülkelerin iç ve dış denge amaçları açısından son derece önemli olan finansal dışa açıklık ve faiz oranının döviz kuru oynaklığı üzerindeki etkileri araştırma konusu yapılmıştır.
Elifnur Tığtepe, Sevda Yapraklı
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