Results 41 to 50 of about 18,304 (313)
Foreign exchange volatility modeling of Southeast Asian major economies
Journal of Economics, Business & Accountancy, 2019 This study investigates the exchange rate volatility model in Southeast Asian countries. The countries selected were Indonesia, Malaysia, Thailand, The Philippines, Vietnam, and Singapore.
Regi Muzio Ponziani
doaj +1 more source
Copernican Journal of Finance & Accounting, 2020 The present study examines hedging effectiveness of futures contracts in India by using variance reduction approach and risk-return approach by applying eight econometric models. It is observed that OLS hedge ratio generates highest hedging effectiveness
Mandeep Kaur, Kapil Gupta
doaj +1 more source
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
doaj +1 more source
Volatility Timing in CPF Investment Funds in Singapore: Do They Outperform Non-CPF Funds?
Risks, 2019 The purpose of this study is to examine the volatility-timing performance of Singapore-based funds under the Central Provident Fund (CPF) Investment Scheme and non-CPF linked funds by taking into account the currency risk effect on internationally ...
Xiaoyi Shen +2 more
doaj +1 more source
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
doaj +1 more source
Exchange rate volatility and tax revenue: Evidence from Ghana
Cogent Economics & Finance, 2018 The need for the Ghanaian government to generate enough revenue for development is becoming increasingly crucial in this era of slow growth, growing unemployment and high debt.
Isaac Kwesi Ofori +2 more
doaj +1 more source
Regime Switching GARCH Models [PDF]
SSRN Electronic Journal, 2006 We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for stationarity and existence of moments.
Luc Bauwens +3 more
openaire +6 more sources
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
doaj +1 more source
Matrix GARCH Model: Inference and Application [PDF]
arXiv, 2023 Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a novel matrix generalized autoregressive conditional heteroskedasticity (GARCH) model to capture the dynamics of ...
arxiv
Data Science in Finance and Economics, 2022 The Bitcoin futures market is growing and, as such, becoming more sophisticated. A small change in price may therefore have a large impact on the market.
Samuel Asante Gyamerah, Collins Abaitey
doaj +1 more source