The impact of United States macroeconomic news announcements on the Johannesburg Stock Exchange
Acta Commercii, 2023 Orientation: Macroeconomic news announcement poses a risk to stock returns, especially that of United States (US) on emerging markets because of globalisation.
Chad V. Alfonso +2 more
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Real exchange rate volatility and exports: A study for four selected commodity exporting countries [PDF]
Panoeconomicus, 2019 Commodity exports depend on global demand and prices, but the increasing volatility of real exchange rates (RER) introduces an additional factor. Thus, this paper studies the RER volatility dynamics, estimated through GARCH and IGARCH models for Brazil ...
Mordecki Gabriela, Miranda Ronald
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Agraris: Journal of Agribusiness and Rural Development Research, 2022 Promoting the horticultural auction market as an alternative outlet is becoming more popular. The horticultural auction market has some benefits, such as reducing price volatility and controlling inflation.
Jamhari Jamhari +4 more
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Time‐varying volatility modelling of Baltic stock markets
Journal of Business Economics and Management, 2010 As time‐varying volatility has found applications in roughly all time series modelling in economics, it largely draws attention in the areas of financial markets.
Bora Aktan +2 more
doaj +1 more source
The Study of long-Term Memory in Dynamic Volatility Relationship between Stock Returns and Exchange Rates [PDF]
Journal of Asset Management and Financing, 2018 Nowadays, the issue of how to choose an appropriate system of currency exchange can be considered as one the pivots of macroeconomic policies and, in turn, currency fluctuation turns to one of the most crucial concerns of each country’s foreign commerce.
dariush damoori, Negar Mirzad
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Quan hệ nhân quả giữa lạm phát và sự bất định lạm phát: Nghiên cứu tại một số nước Đông Nam Á
Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh - Kinh tế và Quản trị kinh doanh, 2023 Bài nghiên cứu có mục tiêu khám phá mối quan hệ nhân quả giữa lạm phát và sự bất định của lạm phát tại một số quốc gia Đông Nam Á. Số liệu sử dụng trong quá trình nghiên cứu được thu thập từ tháng 01 năm 2008 đến tháng 12 năm 2019.
Lê Thông Tiến +1 more
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Application Extreme Value Theory and long-Memory to Stock Market in Iran (In Framework Model-GARCH) [PDF]
Journal of Asset Management and Financing, 2018 During last decades, financial markets have witnessed large losses due to their exposure to unexpected market crash. Resulting in these financial disasters, financial institutions, regulators and academics have developed intensive research to provide ...
Hassan Karnameh haghighi, Ali Rostami
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Volatility Spillover pada Pasar Saham Indonesia, Cina, dan India
Binus Business Review, 2010 Globalization and advanced information technology easing us for obtaining information from global stock markets. With that condition, volatility in domestic capital market could be affected by volatility from global stock markets.
Martin Martin, Yunita Yunita
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PERFORMANCE OF THE ACCURACY OF FORECASTING THE CONSUMER PRICE INDEX USING THE GARCH AND ANN METHODS
Barekeng, 2023 The Consumer Price Index (CPI) is the most widely used indicator of the inflation rate. Then, the value of CPI in the future must be known to be the basis of the government's making appropriate and accurate policies.
Dian Kurniasari +3 more
doaj +1 more source
Theory and Inference for a Markov-Switching GARCH Model [PDF]
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
Jeroen V.K. Rombouts +2 more
core +6 more sources