Results 31 to 40 of about 15,849 (295)
Análisis de la volatilidad accionaria en Latinoamérica
Fórum Empresarial, 2005 En la medida que las economías se van abriendo al mundo se vuelven más vulnerables a las crisis económicas de otros países. A este fenómeno se le denomina contagio.
Carlos Díaz Contreras +1 more
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Price discovery in the cryptocurrency option market: A univariate GARCH approach
Cogent Economics & Finance, 2020 In this paper, two univariate generalised autoregressive conditional heteroskedasticity (GARCH) option pricing models are applied to Bitcoin and the Cryptocurrency Index (CRIX).
Pierre J. Venter +2 more
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EVIDENCE OF TIME-VARYING HERDING BEHAVIOR FROM THE VIETNAMESE STOCK MARKET
Tạp chí Khoa học Đại học Đà Lạt, 2017 Using a regression model of the cross-sectional dispersion in stock returns, this study investigates investor herding behavior in Vietnamese stock market spanning the period from June 01, 2007 to November 30, 2015.
Đoàn Anh Tuấn, Hoàng Mai Phương
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Journal of Business & Economic StatisticsWe introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional correlation matrix and in tail dependencies.
Chen Tong +2 more
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BONDS AND SUKUK MARKETS UNDER COVID 19: AN EMPIRICAL STUDY OF EMERGING MARKETS
Buletin Ekonomi Moneter dan Perbankan, 2023 The influence of the COVID-19 pandemic on the bonds and sukuk market index is investigated to determine the dynamic behavior of fixed-income return volatility.
Nevi Danila
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Modeling of Returns Volatility using GARCH(1,1) Model under Tukey Transformations
Jurnal Akuntansi dan Keuangan, 2019 This study proposed two new classes of GARCH(1,1) model by applying the Tukeytransformations to the returns and to the lagged variance. The behavior of return volatility was investigated on the basis of models with normal and Student-t distributions for ...
Didit Budi Nugroho +3 more
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ANALYSIS OF INTEGRATION AND PRICE EFFICIENCY: A CASE OF INDONESIAN COCOA BEANS EXPORT MARKET
AGRISE, 2020 In international trade, two market are spatially integrated when the price of one commodity traded continuously and has same price movement after adjusting the exchange rate and transaction cost.
Imama Nurus Izaati +2 more
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Peramalan Harga Saham Syariah Pt. Unilever Indonesia Tbk Menggunakan Garch
Krigan, 2023 Tujuan dari penelitian ini untuk mengetahui perbandingan model peramalan dalam meramalkan harga saham PT. Unilever Indonesia Tbk. Pada penelitian ini terdapat 2 model peramalan yaitu peramalan ARIMA dan GARCH.
Didik Gunawan
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Dynamic Conditional Eigenvalue GARCH [PDF]
SSRN Electronic Journal, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rahbek, Anders +2 more
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The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs
Studia Universitatis Vasile Goldis Arad, Seria Stiinte Economice, 2020 This study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020.
Vrînceanu Georgiana +3 more
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