Works matching DE "ARCH model (Econometrics)"

Results: 480

Assessing the impact of interest rate fluctuations on sector index volatility in Bourse Istanbul: A GARCH approach.

Published in:

Business & Management Studies: An International Journal (BMIJ), 2024, v. 12, n. 4, p. 713, doi. 10.15295/qk86ez51

By:

Toğuç, Nurhan

Publication type:

Article

INTERACTIONS BETWEEN FINANCIAL DEVELOPMENT AND TRADE OPENNESS.

Published in:

Scottish Journal of Political Economy, 2011, v. 58, n. 4, p. 567, doi. 10.1111/j.1467-9485.2011.00559.x

By:

Kim, Dong-Hyeon;
Lin, Shu-Chin;
Suen, Yu-Bo

Publication type:

Article

GLOBAL OIL PRICES, OIL INDUSTRY AND EQUITY RETURNS: RUSSIAN EXPERIENCE.

Published in:

Scottish Journal of Political Economy, 2010, v. 57, n. 2, p. 169, doi. 10.1111/j.1467-9485.2010.00512.x

By:

Bhar, Ramaprasad;
Nikolova, Biljana

Publication type:

Article

CROSS-COUNTRY EVIDENCE ON OUTPUT GROWTH VOLATILITY: NONSTATIONARY VARIANCE AND GARCH MODELS.

Published in:

Scottish Journal of Political Economy, 2008, v. 55, n. 4, p. 509, doi. 10.1111/j.1467-9485.2008.00464.x

By:

Fang, WenShwo;
Miller, Stephen M.;
Lee, ChunShen

Publication type:

Article

Detection of Information Flow in Major International Financial Markets by Interactivity Network Analysis.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 3, p. 319, doi. 10.1007/s10690-010-9133-1

By:

Allali, Abdelwahab;
Oueslati, Amor;
Trabelsi, Abdelwahed

Publication type:

Article

Volatility Modeling and Spillover: The Turkish and Russian Stock Markets.

Published in:

Istanbul Business Research, 2024, v. 53, n. 1, p. 81, doi. 10.26650/ibr.2024.53.162811

By:

Gençyürek, Ahmet Galip

Publication type:

Article

Exploring Volatility Clustering Financial Markets and Its Implication.

Published in:

Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 81

By:

Enow, Samuel Tabot

Publication type:

Article

The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange.

Published in:

Cogent Economics & Finance, 2022, v. 10, n. 1, p. 1, doi. 10.1080/23322039.2022.2158007

By:

Muguto, Hilary Tinotenda;
Muguto, Lorraine;
Bhayat, Azra;
Ncalane, Hawaa;
Jack, Kara Jasmine;
Abdullah, Saadia;
Nkosi, Thabile Siphesihle;
Muzindutsi, Paul-Francois

Publication type:

Article

Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange.

Published in:

Cogent Economics & Finance, 2019, v. 7, n. 1, p. 1, doi. 10.1080/23322039.2019.1600233

By:

Rupande, Lorraine;
Muguto, Hilary Tinotenda;
Muzindutsi, Paul-Francois;
Yang, Zhaojun

Publication type:

Article

An automated adaptive trading system for enhanced performance of emerging market portfolios.

Published in:

Financial Innovation, 2025, v. 11, n. 1, p. 1, doi. 10.1186/s40854-025-00754-3

By:

Tudor, Cristiana;
Sova, Robert

Publication type:

Article

Second-Order Least Squares Estimation in Nonlinear Time Series Models with ARCH Errors.

Published in:

Econometrics (2225-1146), 2021, v. 9, n. 4, p. 41, doi. 10.3390/econometrics9040041

By:

Salamh, Mustafa;
Wang, Liqun

Publication type:

Article

Measuring the Distance between Sets of ARMA Models.

Published in:

Econometrics (2225-1146), 2016, v. 4, n. 3, p. 32, doi. 10.3390/econometrics4030032

By:

Triacca, Umberto

Publication type:

Article

Bayesian inference for the Birnbaum–Saunders autoregressive conditional duration model with application to high-frequency financial data.

Published in:

Communications in Statistics: Case Studies & Data Analysis, 2021, v. 7, n. 2, p. 215, doi. 10.1080/23737484.2021.1874571

By:

Fernando, Nascimento;
Jeremias, Leao;
Saulo, Helton

Publication type:

Article

Detection and Correction of Phase Unwrapping Errors in InSAR Time Series Analysis with Discrete Coherent Points.

Published in:

Geomatics & Information Science of Wuhan University, 2014, v. 39, n. 10, p. 1199, doi. 10.13203/j.whugis20130010

By:

LI Yongsheng;
ZHANG Jingfa;
LI Zhenhong;
JIANG Wenliang;
LUO Yi;
ZHAO Yong

Publication type:

Article

A Markov‐switching spatio‐temporal ARCH model.

Published in:

Stat, 2024, v. 13, n. 3, p. 1, doi. 10.1002/sta4.713

By:

Khoo, Tzung Hsuen;
Pathmanathan, Dharini;
Otto, Philipp;
Dabo‐Niang, Sophie

Publication type:

Article

New penalty in information criteria for the ARCH sequence with structural changes.

Published in:

Stat, 2023, v. 12, n. 1, p. 1, doi. 10.1002/sta4.612

By:

Ozaki, Ryoto;
Ninomiya, Yoshiyuki

Publication type:

Article

Volatility Forecasts Jakarta Composite Index (JCI) and Index Stock Volatility Sector with Estimated Time Series.

Published in:

Indonesian Capital Market Review, 2020, v. 12, n. 1, p. 12

By:

Bakhtiar, M. Rifki

Publication type:

Article

Spillover Effects in the Presence of Structural Breaks, Persistence and Conditioned Heteroscedasticity.

Published in:

Annals of Financial Economics, 2023, v. 18, n. 2, p. 1, doi. 10.1142/S2010495222500348

By:

Souza, Francisca Mendonça;
de Souza Ramser, Claudia Aline;
Souza, Adriano Mendonça;
da Veiga, Claudimar Pereira

Publication type:

Article

MODELING THE DYNAMICS OF INTERNATIONAL AGRICULTURAL COMMODITY PRICES: A COMPARISON OF GARCH AND STOCHASTIC VOLATILITY MODELS.

Published in:

Annals of Financial Economics, 2018, v. 13, n. 3, p. N.PAG, doi. 10.1142/S2010495218500100

By:

YANG, LU;
HAMORI, SHIGEYUKI

Publication type:

Article

YET ANOTHER ACD MODEL: THE AUTOREGRESSIVE CONDITIONAL DIRECTIONAL DURATION (ACDD) MODEL.

Published in:

Annals of Financial Economics, 2014, v. 9, n. 1, p. -1, doi. 10.1142/S2010495214500043

By:

JEYASREEDHARAN, NAGARATNAM;
ALLEN, DAVID E;
YANG, JOEY WENLING

Publication type:

Article

VADELİ PAMUK EMTİASI GETİRİSİ İLE PAMUK REEL PİYASA DİNAMİKLERİNİN ETKİLEŞİMİ.

Published in:

Istanbul Commerce University Journal of Social Sciences / İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 2020, v. 19, n. 37, p. 733

By:

ÖZAYDIN, Orhan;
ÇANKAYA, Serkan

Publication type:

Article

Real time estimation of stochastic volatility processes.

Published in:

Annals of Operations Research, 2012, v. 200, n. 1, p. 223, doi. 10.1007/s10479-011-0976-2

By:

Gerencsér, László;
Orlovits, Zsanett

Publication type:

Article

IMPACTO DA VOLATILIDADE NO PREÇO DO CIMENTO PORTLAND.

Published in:

Exacta, 2020, v. 18, n. 3, p. 475, doi. 10.5585/ExactaEP.v18n3.10660

By:

Reichert, Bianca;
Mendonça Souza, Adriano

Publication type:

Article

spGARCH: An R-Package for Spatial and Spatiotemporal ARCH and GARCH models.

Published in:

R Journal, 2019, v. 9, n. 2, p. 401, doi. 10.32614/rj-2019-053

By:

Otto, Philipp

Publication type:

Article

Employment of GARCH Model and L.S.M.E Method in Time Series with Application to COVID-19 Virus.

Published in:

Journal of Algebraic Statistics, 2022, v. 13, n. 3, p. 4856

By:

Mohammad, Aaedah A.;
Aljboori, Nihad S. Khalaf

Publication type:

Article

The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model.

Published in:

International Journal of Economic Sciences & Applied Research, 2014, v. 7, n. 3, p. 43

By:

Giovanis, Eleftherios

Publication type:

Article

RBI Forecast Vs. GARCH-Based ARIMA Forecast for Indian Rupee-US Dollar Exchange Rate: A Comparison.

Published in:

IUP Journal of Bank Management, 2010, v. 9, n. 4, p. 7

By:

Datta, Kanchan;
Mukhopadhyay, Chandan Kumar

Publication type:

Article

Herding During Market Upturns and Downturns: International Evidence.

Published in:

IUP Journal of Applied Finance, 2013, v. 19, n. 2, p. 5

By:

Mabrouk Houda, Ben;
Mohamed, Fakhfekh

Publication type:

Article

Modeling Volatility for the Indian Stock Market.

Published in:

IUP Journal of Applied Economics, 2010, v. 9, n. 1, p. 79

By:

Thiripalraju, M.;
Acharya, H. Rajesh

Publication type:

Article

A conditional variance tale from an emerging economy's freely floating exchange rate.

Published in:

Applied Economics, 2011, v. 43, n. 19, p. 2465, doi. 10.1080/00036840903266812

By:

Kiliç, Rehim

Publication type:

Article

The effectiveness of Central Bank intervention: evidence from Turkey.

Published in:

Applied Economics, 2011, v. 43, n. 14, p. 1801, doi. 10.1080/00036840802676228

By:

Tuna, Gulcay

Publication type:

Article

Modelling the dynamics of market shares in a pooled data setting: econometric and empirical issues.

Published in:

Applied Economics, 2011, v. 43, n. 7, p. 823, doi. 10.1080/00036840802599925

By:

Nowak-Lehmann D., Felicitas;
Herzer, Dierk;
Vollmer, Sebastian;
Martínez-Zarzoso, Inmaculada

Publication type:

Article

A simple multivariate test for asymmetry.

Published in:

Applied Economics, 2009, v. 41, n. 11, p. 1405, doi. 10.1080/00036840500428146

By:

Bjellerup, Mårten;
Holgersson, Thomas

Publication type:

Article

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

By:

Hatemi-J, A.;
S. Hacker, R.

Publication type:

Article

Rolling-sampled parameters of ARCH and Levy-stable models.

Published in:

Applied Economics, 2008, v. 40, n. 23, p. 3051, doi. 10.1080/00036840600994039

By:

Degiannakis, Stavros;
Livada, Alexandra;
Panas, Epaminondas

Publication type:

Article

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

By:

Halicioglu, Ferda

Publication type:

Article

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

By:

Payne, James E.;
Waters, George A.

Publication type:

Article

Modelling the Density of Inflation Using Autoregressive Conditional Heteroscedasticity, Skewness, and Kurtosis Models.

Published in:

Ensayos - Revista de Economía, 2011, v. 30, n. 20, p. 1

By:

Ahmed, Doaa Akl

Publication type:

Article

Parametric vs. non-parametric methods for estimating option implied risk-neutral densities: the case of the exchange rate Mexican peso - US dollar.

Published in:

Ensayos - Revista de Economía, 2008, v. 27, n. 1, p. 35, doi. 10.29105/ensayos27.1-2

By:

Perales, Guillermo Benavides;
Cuevas, Israel Felipe Mora

Publication type:

Article

Recurrent neural network architecture for forecasting banana prices in Gujarat, India.

Published in:

PLoS ONE, 2023, v. 18, n. 6, p. 1, doi. 10.1371/journal.pone.0275702

By:

Kumari, Prity;
Goswami, Viniya;
N., Harshith;
Pundir, R. S.

Publication type:

Article

VOLATILITY MODELING OF REAL GDP GROWTH RATES IN SOUTH AFRICA.

Published in:

Economics, Management & Financial Markets, 2013, v. 8, n. 2, p. 81

By:

SIGAUKE, CASTON

Publication type:

Article

NONLINEARITIES IN THE UNEMPLOYMENT RATE: THE U.S. CASE.

Published in:

Quality - Access to Success, 2011, p. 67

By:

APARASCHIVEI, Larisa;
CRISTESCU, Amalia

Publication type:

Article

Performance of Autoregressive Order Selection Criteria: A Simulation Study.

Published in:

Pertanika Journal of Science & Technology, 2008, v. 16, n. 2, p. 171

By:

Liew, Venus Khim-Sen;
Shitanz, Mahendran;
Choong Chee Keong;
Hooy Chee Wooi

Publication type:

Article

Housing and Stock Market Returns: An Application of GARCH Enhanced VECM.

Published in:

ICFAI Journal of Financial Economics, 2008, v. 6, n. 2, p. 30

By:

Anoruo, Emmanuel;
Braha, Habtu

Publication type:

Article

THE TWIN DEFICIT HYPOTHESIS: THE CASE OF BULGARIA.

Published in:

Financial Theory & Practice, 2010, v. 34, n. 4, p. 357

By:

Ganchev, Gancho Todorov

Publication type:

Article

BAYESIAN ESTIMATION OF STUDENT-T GARCH MODEL USING LINDLEY'S APPROXIMATION.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2019, v. 53, n. 1, p. 75, doi. 10.24818/18423264/53.1.19.05

By:

ARI, Yakup;
PAPADOPOULOS, Alex

Publication type:

Article

A NEW INTERNATIONAL MONETARY SYSTEM ON THE HORIZON?

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2018, v. 52, n. 1, p. 89, doi. 10.24818/18423264/52.1.18.06

By:

DRAGOE, Sebastian-Ilie;
OPREAN-STAN, Camelia

Publication type:

Article

BAYESIAN ESTIMATION OF THE PARAMETERS OF THE ARCH MODEL WITH NORMAL INNOVATIONS USING LINDLEY'S APPROXIMATION.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2016, v. 50, n. 4, p. 217

By:

ARI, Yakup;
PAPADOPOULOS, EmeritusAlexandros

Publication type:

Article

THE COMPUTATIONAL OF STOCK MARKET VOLATILITY FROM THE PERSPECTIVE OF HETEROGENEOUS MARKET HYPOTHESIS.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2013, v. 47, n. 2, p. 247

By:

CHEONG, Chin Wen

Publication type:

Article

A COMPARATIVE STUDY OF BAYESIAN AND MAXIMUM LIKELIHOOD APPROACHES FOR ARCH MODELS WITH EVIDENCE FROM BRAZILIAN FINANCIAL SERIES.

Published in:

New Mathematics & Natural Computation, 2011, v. 7, n. 2, p. 347, doi. 10.1142/S1793005711001974

By:

ANDRADE, MARINHO G.;
OLIVEIRA, SANDRA C.

Publication type:

Article