Results 81 to 90 of about 11,660 (201)
Risk measurement of global stock markets: a factor copula-based GJR-GARCH approach
Journal of Physics: Conference Series, 2019 AbstractFinancial crisis in 2008 caused huge loss and one of the accusations is the misprediction of risk measurement. Considering the important role the stock markets play, and the trend of globalization in economy, we propose forecasting Value at Risk of G20’s (except European Union) stock indexes in three periods, pre-crisis, during crisis and post ...
Quanrui Song +2 more
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Improvement of Real-GJR Model using Jump Variables on High Frequency Data
JTAM (Jurnal Teori dan Aplikasi Matematika)Volatility is a key indicator in assessing risk when making investment decisions. In the world of financial markets, volatility reflects the degree to which the value of a financial asset fluctuates over a given period. The most common way to measure the future loss potential of an investment is through volatility. Focusing on the Realized GJR (RealGJR)
Didit Budi Nugroho +5 more
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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
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The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index.
Chen, C-C., Chu, L.F., McAleer, M.J.
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan [PDF]
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which
Chia-Lin Chang, Michael McAleer
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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
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates [PDF]
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long ...
Chang, C-L., McAleer, M.J.
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On Extensions of Superconformal Algebras
, 2005 Starting from vector fields that preserve a differential form on a Riemann sphere with Grassmann variables, one can construct a Superconformal Algebra by considering central extensions of the algebra of vector fields.
Flohr M., Jasbir Nagi, Nelson P.
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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
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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
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