Results 81 to 90 of about 1,203 (162)
, 2020 This study applied the Clayton and Gumbel copulas using the TGARCH model for marginal distribution of returns in order to describe the tail dependence between oil prices and the Mexican stock market index (IPC, Index of Prices and Quotations) on a weekly
Lorenzo Valdés, Arturo +2 more
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Traffic Volatility Forecasting Using an Omnibus Family GARCH Modeling Framework. [PDF]
Entropy (Basel), 2022 Ou J, Huang X, Zhou Y, Zhou Z, Nie Q.
europepmc +1 more source
Do foreign investors affect the volatility of local currency bond prices? Empirical evidence from China. [PDF]
Heliyon, 2023 Wang Q, Gao S, Li J, Leibrecht M.
europepmc +1 more source
Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
europepmc +1 more source
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi DergisiÇalışmanın amacı, Borsa İstanbul’da (BIST) işlem gören Katılım 30 ve Katılım 50 endekslerinin volatilite yapılarını açıklayan en uygun modeli belirlemektir.
Turan Öndeş, Muhammet Levet
doaj +1 more source
Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both? [PDF]
Ann Data Sci, 2022 de Oliveira AMB, Mandal A, Power GJ.
europepmc +1 more source
Trading volume and volatility of stock returns: Evidence from some European and Asian stock markets
Quantitative Methods in Economics, 2011 This paper analyses the relationship between the daily volatility of stock returns and the trading volume using the TGARCH models for selected European and Asian stock markets. The leverage effect has been proved in all analysed cases.
Michaela Chocholatá
doaj
Modelling and forecasting of growth rate of new COVID-19 cases in top nine affected countries: Considering conditional variance and asymmetric effect. [PDF]
Chaos Solitons Fractals, 2021 Ekinci A.
europepmc +1 more source
Modeling and forecasting trading volume index: GARCH versus TGARCH approach
Volatility has been described as an indicator of uncertainty which has implications for investment decisions, risk management as well as monetary policy.
Sabiruzzaman, Md. +3 more
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