Results 71 to 80 of about 3,916 (205)
Journal of Time Series Analysis, Volume 45, Issue 6, Page 910-930, November 2024.Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and its variations have been widely adopted in the study of financial volatilities, while the extension of GARCH‐type models to high‐dimensional data is always difficult because of over‐parameterization and computational complexity. In this article, we propose a multi‐variate GARCH‐
Yue Pan, Jiazhu Pan
wiley +1 more source
Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB [PDF]
This paper examines the well know day of the week effect on stock returns. Various approaches have been developed and applied in order to examine calendar effects in stock returns and to formulate appropriate financial and risk portfolios.
Giovanis, Eleftherios
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Cryptocurrency portfolio optimization: Utilizing a GARCH‐copula model within the Markowitz framework
Journal of Corporate Accounting &Finance, Volume 35, Issue 4, Page 139-155, October 2024.Abstract The growing interest in cryptocurrencies has brought this new means of exchange to the attention of the financial world. This study aims to investigate the effects that a cryptocurrency can have when it is considered as a financial asset. The analysis is carried out from an ex‐post perspective, evaluating the performance achieved in a certain ...
Vahidin Jeleskovic +3 more
wiley +1 more source
"Market-specific and Currency-specific Risk during the Global Financial Crisis: Evidence from the Interbank Markets in Tokyo and London" [PDF]
This paper explores how international money markets reflected credit and liquidity risks during the global financial crisis. After matching the currency denomination, we investigate how the Tokyo Interbank Offered Rate (TIBOR) was synchronized with the ...
Shin-ichi Fukuda
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Modelling Volatility by Variance Decomposition [PDF]
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type.
Cristina Amado, Timo Teräsvirta
core
Commodity futures price behaviour following large one-day price changes [PDF]
, 2014 This study examines individual commodity futures price reactions to large one-day price changes, or “shocks”. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or ...
Mazouz, Khelifa, Wang, Jian
core +2 more sources
The Volatility Forecasting of Tehran& International Stock Exchanges [PDF]
مطالعات تجربی حسابداری مالی, 2008 Stock prices are one of the most volatile economic variables and forecasting stock prices and their returns has proved very challenging, if not impossible.
H. Khaleghi Moghadam +2 more
doaj
Exchange rate exposure of stock returns at firm level [PDF]
The use of conventional augmented CAPM specification in estimating the exchange rate exposure may result in less reliable estimates for, at least, two reasons.
Gamini Premaratne, Prabhath Jayasinghe
core
Estimation of tail thickness parameters from GJR-GARCH models [PDF]
We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model.
Emma M. Iglesias, Oliver Linton
core
Conditional correlation in asset return and GARCH intensity model
, 2013 In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in
Choe, Geon Ho, Lee, Kyungsub
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