Impact of foreign and domestic investment in stock market volatility: Empirical evidence from India
Cogent Economics & Finance, 2020 Volatility is one of the most important factors of investment decisions. Unexpected information forces the investor to trade abnormally in the market which in turn affects the volatility of the market.
Bhaskar Chhimwal, Varadraj Bapat
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Degradation Mechanisms of Rutile‐Type TiO2 Photoanodes during Photoelectrochemical Water Splitting
Advanced Energy Materials, EarlyView.Combining operando dissolution measurements with microscopy and spectroscopy characterizations, we reveal different degradation mechanisms of rutile‐type TiO2 photoanodes during photoelectrochemical water splitting. In acidic electrolytes, degradation is inhibited once TiO2 reaches saturation.
Yiqun Jiang +12 more
wiley +1 more source
EVALUATING VOLTALITY PERSISTENCE OF STOCK RETURTN IN THE PRE AND POST 2008-2009 FINANCIAL MELTDOWN
Copernican Journal of Finance & Accounting, 2019 The Nigerian stock market capitalization in 2007 was N 13.181 trillion but due to the meltdown, it reduced to N 7.030 trillion in 2009, indicating over 40% loss of investor’s value.
Kamaldeen Ibraheem Nageri
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Agribusiness, EarlyView.Abstract The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend ...
Yiyang Qiao, Byeong‐il Ahn
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Modeling Volatility: Evidence from Tehran Stock Exchange [PDF]
تحقیقات مالی, 2009 The research problem investigated in this paper is modeling volatility and analyzing risk and return’s relationship in Tehran Stock Exchange using GARCH-family models including GARCH(1,1), GARCH(2,2), EGARCH(1,1), PGARCH(1,1), TGARCH(1,1), GARCH(1,1)-M ...
Shapour Mohammadi +3 more
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A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors, [PDF]
This paper provides a review of some recent theoretical results for time series models with GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model and proceeding to the GARCH model, some results for stationary and ...
Michael McAleer, Shiqing Ling, W. K. Li
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Topological Properties of International Commodity Market: How Uncertainty Affects the Linkages?
Agribusiness, EarlyView.ABSTRACT The study aims to explore the network topology of the international commodity market by examining the interconnections among 21 commodity futures across various categories, including energy, precious and industrial metals, and agriculture. We analyze the market structure of these commodity futures under both low and high uncertainty conditions
Ibrahim Yagli, Bayram Deviren
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A multivariate generalized independent factor GARCH model with an application to financial stock returns [PDF]
We propose a new multivariate factor GARCH model, the GICA-GARCH model , where the data are assumed to be generated by a set of independent components (ICs).
Antonio García-Ferrer +2 more
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Return and Volatility Spillovers Among Major Cotton Markets
Agribusiness, EarlyView.ABSTRACT This study explores return and volatility transmission among major cotton markets. Several events have disrupted cotton supply and demand in recent years, leading to heightened price volatility and significant shifts in market interconnections.
Susmitha Kalli +3 more
wiley +1 more source
A Bivariate Markov Regime Switching GARCH Approach to Estimate Time Varying Minimum Variance Hedge Ratios [PDF]
This paper develops a new bivariate Markov regime switching BEKK-GARCH (RS-BEKK-GARCH) model. The model is a state-dependent bivariate BEKK- GARCH model, and an extension of Gray’s univariate generalized regime- switching (GRS) model to the bivariate ...
Hsiang-Tai Lee, Jonathan Yoder
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