Results 51 to 60 of about 11,730 (214)
International Studies of Economics, Volume 21, Issue 1, Page 73-89, March 2026.ABSTRACT Communication with the market to guide public expectations has become a pivotal monetary policy instrument for central banks worldwide. Therefore, assessing the efficacy of communication in influencing personal expectations is essential for central banks.
Yuying Jin, Sunyao Xia
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A Time Series Analysis of the Nexus Between Macroeconomic Fundamentals and Stock Prices in Nigeria
Studies in Business and Economics, 2018 Since macroeconomic fundamentals have been found to play a vital role for changes in the economy of a country. Consequently, the onus is on the appropriate regulatory authorities to take measures in making amendments in these policies to put the economy ...
Ditimi Amassoma, Ifeoluwa Bolarinwa
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Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets
Journal of Agricultural and Resource Economics, 2003 Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish.
Cumhur Buguk +2 more
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Assessing the relation between equity risk premium and macroeconomic volatilities in the UK [PDF]
, 2008 This paper uses the exponential GARCH-in-mean model to analyse the relationship between the equity risk premium and macroeconomic volatility. This premium depends upon conditional volatility, which is significantly affected by the long bond yield, acting
Kizys, Renatas, Spencer, P.
core
Information Flows, Stock Market Volatility and the Systemic Risk in Global Finance
International Journal of Finance &Economics, Volume 31, Issue 1, Page 151-173, January 2026.ABSTRACT Information flows are a theoretical explanation for stock market volatility, but controversy remains regarding how to measure them. Based on cross‐sectional and temporal properties of information flows, we decompose total trading volume into four types: cross‐country shocks and country‐specific shocks due to arrivals of private information ...
Yen‐Hsiao Chen +3 more
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Ekonomi Maliye İşletme DergisiThe Covid-19 pandemic is recognized as one of the most important pandemics of the last century and has led to a global recession and decline, affecting all sectors in different ways. In this study, volatility spillovers between variables are analyzed. In
Erkan Alsu, İbrahim Halil Uçar
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An exponential continuous time GARCH process [PDF]
, 2006 In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model.
Czado, Claudia, Haug, Stephan
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The Dynamics of European Economic Systems Amid the Russia–Ukraine Conflict: A Cybernetics Approach
The American Journal of Economics and Sociology, Volume 85, Issue 1, Page 129-148, January 2026.ABSTRACT This study analyzes the dynamics of European economic systems in the context of the Russia–Ukraine conflict, employing a cybernetics approach and advanced econometric models. Based on the premise that national economies operate as complex adaptive systems, the study investigates the impact of geopolitical shocks on macroeconomic equilibrium ...
Ionuț Nica +3 more
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The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH [PDF]
SSRN Electronic Journal, 2017 In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991).
Chang, Chia-Lin, McAleer, Michael
openaire +4 more sources
Determinants of the ZAR/USD exchange rate and policy implications: A simultaneous-equation model
Cogent Economics & Finance, 2016 This paper examines the determinants of the South African rand/US dollar (ZAR/USD) exchange rate based on demand and supply analysis. Applying the EGARCH method, the paper finds that the ZAR/USD exchange rate is positively associated with the South ...
Yu Hsing
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