IMPACT OF INDEX DERIVATIVES ON INDIAN STOCK MARKET VOLATILITY-AN APPLICATION OF ARCH AND GARCH MODEL.
- Published in:
- Corporate Ownership & Control, 2009, v. 6, n. 3, p. 39
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- Publication type:
- Article
Works matching DE "ARCH model (Econometrics)"
Results: 477
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基于监测数据的钢管混凝土拱桥健康安全评估.
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- Transportation Science & Technolgy, 2023, n. 1, p. 51, doi. 10.3963/j.issn.1671-7570.2023.01.011
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- Article
3
Exploring Volatility Clustering Financial Markets and Its Implication.
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- Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 81
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- Article
4
Seasoned Equity Offerings or Capital Deductions? The Reaction of Stock Prices: Evidence from Taiwan.
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- Emerging Markets Finance & Trade, 2017, v. 53, n. 3, p. 644, doi. 10.1080/1540496X.2015.1097991
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- Article
5
Changes in Stock Price Volatility and Monetary Policy Regimes: Evidence from Asian Countries.
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- Emerging Markets Finance & Trade, 2012, v. 48, p. 54, doi. 10.2753/REE1540-496X4806S404
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- Article
6
Determination of Optimal Hedging Strategy for Index Futures: Evidence from Turkey.
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- Emerging Markets Finance & Trade, 2011, v. 47, n. 6, p. 68, doi. 10.2753/REE1540-496X470604
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- Article
7
Drivers of Exchange Rate Dynamics in Selected CIS Countries: Evidence from a Factor-Augmented Vector Autoregressive (FAVAR) Analysis.
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- Emerging Markets Finance & Trade, 2011, v. 47, n. 4, p. 49, doi. 10.2753/REE1540-496X470403
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- Article
8
The Role of Stock Size and Trading Intensity in the Magnitude of the "Interval Effect" in Beta Estimation: Empirical Evidence from the Polish Capital Market.
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- Emerging Markets Finance & Trade, 2011, v. 47, n. 1, p. 28, doi. 10.2753/REE1540-496X470102
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- Article
9
Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?
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- Emerging Markets Finance & Trade, 2010, v. 46, n. 4, p. 23, doi. 10.2753/REE1540-496X460402
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- Article
10
The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange.
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- Cogent Economics & Finance, 2022, v. 10, n. 1, p. 1, doi. 10.1080/23322039.2022.2158007
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- Article
11
Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange.
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- Cogent Economics & Finance, 2019, v. 7, n. 1, p. 1, doi. 10.1080/23322039.2019.1600233
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- Article
12
大跨钢管混凝土拱桥拱脚设计及局部应力分析.
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- Guangdong Architecture Civil Engineering, 2023, v. 30, n. 1, p. 66, doi. 10.19731/j.gdtmyjz.2023.01.017
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- Article
13
The effect of COVID‐19 pandemic on global stock markets: Return, volatility, and bad state probability dynamics.
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- Journal of Public Affairs (14723891), 2022, v. 22, p. 1, doi. 10.1002/pa.2761
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- Article
14
The outbreak of COVID‐19 pandemic and its impact on stock market volatility: Evidence from a worst‐affected economy.
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- Journal of Public Affairs (14723891), 2021, v. 21, n. 4, p. 1, doi. 10.1002/pa.2623
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- Publication type:
- Article
15
INVESTIGATION OF THE OIL PRICE VOLATILITY WITH AUTOREGRESSIVE CONDITIONAL VARIANCE MODELS ARCH/GARCH.
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- Journal of Mehmet Akif Ersoy University Social Science Institute, 2020, v. 11, n. 31, p. 137, doi. 10.20875/makusobed.512459
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- Article
16
A model-free approach to do long-term volatility forecasting and its variants.
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- Financial Innovation, 2023, v. 9, n. 1, p. 1, doi. 10.1186/s40854-023-00466-6
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- Article
17
Impact of COVID-19 effective reproductive rate on cryptocurrency.
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- Financial Innovation, 2022, p. 1, doi. 10.1186/s40854-022-00354-5
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- Publication type:
- Article
18
Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks.
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- Financial Innovation, 2022, v. 8, n. 1, p. 1, doi. 10.1186/s40854-022-00348-3
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- Publication type:
- Article
19
Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market.
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- Central European Journal of Economic Modelling & Econometrics, 2014, v. 6, n. 4, p. 237
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20
Structural change and output volatility reduction in OECD countries: evidence of the Second Great Moderation.
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- Journal of Economic Structures, 2019, v. 8, n. 1, p. N.PAG, doi. 10.1186/s40008-019-0171-1
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- Article
21
Periodic Study of Carbon Market Fluctuation in China Based on H-P Filter and ARCH Models: a Case Study of Shenzhen.
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- Polish Journal of Environmental Studies, 2024, v. 33, n. 5, p. 5027, doi. 10.15244/pjoes/182880
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- Article
22
Exchange Rate Exposure of Sectoral Returns and Volatilities: Further Evidence From Japanese Industrial Sectors.
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- Pacific Economic Review, 2014, v. 19, n. 2, p. 216, doi. 10.1111/1468-0106.12061
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- Article
23
Did Oral Interventions by the Indonesian Central Bank Support the Rupiah?
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- Pacific Economic Review, 2013, v. 18, n. 1, p. 79, doi. 10.1111/1468-0106.12011
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- Publication type:
- Article
24
AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE.
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- Journal of Economic Surveys, 2008, v. 22, n. 4, p. 711, doi. 10.1111/j.1467-6419.2007.00547.x
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- Publication type:
- Article
25
APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS.
- Published in:
- Australian & New Zealand Journal of Statistics, 2009, v. 51, n. 2, p. 201, doi. 10.1111/j.1467-842X.2009.00542.x
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- Article
26
Forecasting bitcoin volatility: exploring the potential of deep learning.
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- Eurasian Economic Review, 2023, v. 13, n. 2, p. 285, doi. 10.1007/s40822-023-00232-0
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- Article
27
Does past performance affect mutual fund tracking error in Taiwan?
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- Applied Economics, 2015, v. 47, n. 51, p. 5476, doi. 10.1080/00036846.2015.1051653
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- Article
28
Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution.
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- Applied Economics, 2015, v. 47, n. 51, p. 5461, doi. 10.1080/00036846.2015.1049338
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- Article
29
The effects of multilateral trading systems on risk and return in equity markets.
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- Applied Economics, 2015, v. 47, n. 44, p. 4777, doi. 10.1080/00036846.2015.1034843
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- Article
30
Examining the relationship between stock return volatility and trading volume: new evidence from an emerging economy.
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- Applied Economics, 2015, v. 47, n. 18, p. 1899, doi. 10.1080/00036846.2014.1002885
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- Article
31
What should the value of lambda be in the exponentially weighted moving average volatility model?
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- Applied Economics, 2015, v. 47, n. 8, p. 853, doi. 10.1080/00036846.2014.982853
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- Article
32
Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach.
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- Applied Economics, 2013, v. 45, n. 20, p. 2909, doi. 10.1080/00036846.2012.687098
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- Article
33
A conditional variance tale from an emerging economy's freely floating exchange rate.
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- Applied Economics, 2011, v. 43, n. 19, p. 2465, doi. 10.1080/00036840903266812
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- Article
34
The effectiveness of Central Bank intervention: evidence from Turkey.
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- Applied Economics, 2011, v. 43, n. 14, p. 1801, doi. 10.1080/00036840802676228
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- Article
35
Modelling the dynamics of market shares in a pooled data setting: econometric and empirical issues.
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- Applied Economics, 2011, v. 43, n. 7, p. 823, doi. 10.1080/00036840802599925
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- Article
36
A simple multivariate test for asymmetry.
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- Applied Economics, 2009, v. 41, n. 11, p. 1405, doi. 10.1080/00036840500428146
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- Article
37
Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?
- Published in:
- Applied Economics, 2009, v. 41, n. 9, p. 1121, doi. 10.1080/00036840601019273
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- Publication type:
- Article
38
Rolling-sampled parameters of ARCH and Levy-stable models.
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- Applied Economics, 2008, v. 40, n. 23, p. 3051, doi. 10.1080/00036840600994039
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- Publication type:
- Article
39
The J-curve dynamics of Turkey: an application of ARDL model.
- Published in:
- Applied Economics, 2008, v. 40, n. 18, p. 2423, doi. 10.1080/00036840600949496
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- Publication type:
- Article
40
Interest rate pass through and asymmetric adjustment: evidence from the federal funds rate operating target period.
- Published in:
- Applied Economics, 2008, v. 40, n. 11, p. 1355, doi. 10.1080/00036840600806233
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- Publication type:
- Article
41
Value At Risk (VAR) With Respect To Single Risk Factor.
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- Romanian Statistical Review, 2010, n. 4, p. 39
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- Publication type:
- Article
42
LABOUR FORCE DEMAND AND SUPPLY DEVELOPMENTS OF ROMANIA'S AGRICULTURE: ECONOMETRIC MODELS AND METHODS, INDICATORS USED IN STATISTICAL ANALYSIS.
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- Romanian Statistical Review, 2010, n. 4, p. 14
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- Publication type:
- Article
43
Stochastic models with heteroskedasticity: a Bayesian approach for Ibovespa returns.
- Published in:
- Acta Scientiarum: Technology, 2013, v. 35, n. 2, p. 339, doi. 10.4025/actascitechnol.v35i2.13547
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- Publication type:
- Article
44
A general framework for spatial GARCH models.
- Published in:
- Statistical Papers, 2023, v. 64, n. 5, p. 1721, doi. 10.1007/s00362-022-01357-1
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- Publication type:
- Article
45
Stochastic properties of spatial and spatiotemporal ARCH models.
- Published in:
- Statistical Papers, 2021, v. 62, n. 2, p. 623, doi. 10.1007/s00362-019-01106-x
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- Publication type:
- Article
46
Asymptotic normality of the MLE in the level-effect ARCH model.
- Published in:
- Statistical Papers, 2021, v. 62, n. 1, p. 117, doi. 10.1007/s00362-019-01086-y
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- Publication type:
- Article
47
Wild bootstrap tests for autocorrelation in vector autoregressive models.
- Published in:
- Statistical Papers, 2017, v. 58, n. 4, p. 1189, doi. 10.1007/s00362-016-0744-0
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- Publication type:
- Article
48
Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models.
- Published in:
- Statistical Papers, 2015, v. 56, n. 2, p. 431, doi. 10.1007/s00362-014-0590-x
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- Publication type:
- Article
49
The ARL of modified Shewhart control charts for conditionally heteroskedastic models.
- Published in:
- Statistical Papers, 2013, v. 54, n. 1, p. 1, doi. 10.1007/s00362-011-0408-z
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- Publication type:
- Article
50
Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models.
- Published in:
- Statistical Papers, 2011, v. 52, n. 3, p. 621, doi. 10.1007/s00362-009-0272-2
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- Publication type:
- Article