Results 21 to 30 of about 3,916 (205)
Copernican Journal of Finance & Accounting, 2015 The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries.
Heitham Al-Hajieh +3 more
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Asymmetry and Leverage in Conditional Volatility Models
Econometrics, 2014 The three most popular univariate conditional volatility models 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 ...
Michael McAleer
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Optimizing the Model Investment Portfolios Based on Coherent Risk Measures under Conditions of Asymmetric Financial Market Volatility [PDF]
Problemi EkonomikiThis article is dedicated to the optimization of model investment portfolios by integrating asymmetric volatility forecasting using GJR-GARCH models, considering the minimization of Conditional Value at Risk (CVaR).
Manoilenko Oleksandr V. +2 more
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Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory [PDF]
Eastern Journal of European Studies, 2019 Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and ...
Mohamed CHIKHI +2 more
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Time Series Analysis Using Wavelets And Gjr-Garch Models
, 2012 Publication in the conference proceedings of EUSIPCO, Bucharest, Romania ...
Borda, Monica +2 more
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International Journal of Financial Studies, 2022 This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets ...
Joel Hinaunye Eita +1 more
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Testing and Predicting Volatility Spillover—A Multivariate GJR-GARCH Approach
Theoretical Economics Letters, 2019 This paper proposes a multivariate VAR-BEKK-GJR-GARCH volatility model to assess the dynamic interdependence among stock, bond and money market returns and volatility of returns. The proposed model allows for market interaction which provides useful information for pricing securities, measuring value-at-risk (VaR), and asset allocation and ...
Hira Aftab +3 more
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Forecasting Performance of Asymmetric GARCH Stock Market Volatility Models
East Asian Economic Review, 2009 We investigate the asymmetry between positive and negative returns in their effect on conditional variance of the stock market index and incorporate the characteristics to form an out-of-sample volatility forecast.
Hojin Lee
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Estimating Value at Risk of Portfolio of Oil and Gold by Copula-GARCH Method [PDF]
تحقیقات مالی, 2014 Copula functions are powerful tools that describe dependence structure of multi- dimension random variables and are considered as one of the newest tools for risk management.
Saeed Fallahpour, Ehsan Ahmadi
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Modern FinanceThis study examines the effect of Twitter-derived investor sentiment on stock market volatility in South Africa using daily data for the JSE All Share Index from 2016 to 2023.
Thiasha Naidoo
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