Results 71 to 80 of about 1,347 (161)
An analysis of Ramadan effect by GJR-GARCH model: case of Borsa Istanbul
Oeconomia Copernicana, 2016 Although there are a lot of studies testing the calendar effect in BIST, there are limited numbers of studies testing the Ramadan effect. In this study, the period of 05 August 1997–24 October 2014 is tested by the GJR-GARCH(1,1) model on the basis of BIST 30, 100, all, second national, sectors and sub-sectors. In some of the models, the dummy variable
K. Batu Tunay, Murat Akbalik
openaire +2 more sources
The impact of economic sentiment on European stock markets
Entrepreneurial Business and Economics ReviewObjective: This article aims to analyse the impact of sentiment indicators reflecting the condition of major economies on the returns and volatility of European developed, emerging, and frontier stock markets.
Anna Czapkiewicz +2 more
doaj +1 more source
Business Systems Research, 2013 Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has
Bucevska Vesna
doaj +1 more source
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
Inflación e incertidumbre inflacionaria: la postura del Banco de México, 1969-2017
Revista Finanzas y Política Económica, 2018 Este artículo examina la relación entre inflación e incertidumbre inflacionaria para la economía de México durante el periodo que comprende enero de 1969 a febrero de 2017, utilizando modelos SARMA-GARCH y sus extensiones GJR-GARCH-M y E-GARCH-M.
Eduardo Rosas Rojas +1 more
doaj +1 more source
Heteroskedasticity in Excess Bitcoin Return Data: Google Trend vs. GARCH Effects
Nauki o Finansach, 2019 This paper examines the mixture of distribution properties associated with heteroskedastic excess Bitcoin return data, using the volume of Google search queries as a proxy for the information arrival time, from a monthly data sampling period of June 2010
Chamil W. Senarathne, Tijana Šoja
doaj
Green Hydrogen Market and Green Cryptocurrencies: A Dynamic Correlation Analysis
CommoditiesThe urgent need to mitigate climate change has elevated green hydrogen as a sustainable alternative to fossil fuels, while green cryptocurrencies have emerged to address the environmental concerns of traditional cryptocurrency mining.
Eder J. A. L. Pereira +2 more
doaj +1 more source
QuipukamayocObjetivo: Evaluar la eficacia de los modelos de aprendizaje profundo y sus extensiones con los modelos de volatilidad condicional en la predicción de la volatilidad del Índice S&P/BVL Peru General.
Abraham Puente De La Vega Caceres
doaj +1 more source
Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods
Cogent Economics & FinanceThis study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements.
Hamdan Bukenya Ntare +2 more
doaj +1 more source
A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting
, 2013 Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibovespa indexes.
openaire +3 more sources