Quantitative Easing and Tightening Effects on Volatility Transmission in ASEAN's Emerging Financial Markets.
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- Malaysian Journal of Economic Studies, 2025, v. 62, n. 1, p. 29, doi. 10.22452/MJES.vol62no1.2
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- Publication type:
- Article
Works matching DE "GARCH model"
Results: 1545
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ASYMPTOTIC BEHAVIOR OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR GENERAL MARKOV SWITCHING MODELS.
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- Statistica Sinica, 2024, v. 34, n. 3, p. 1367, doi. 10.5705/ss.202021.0336
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- Article
3
考虑碳排放权交易风险的能源运营商-区域 综合能源系统联盟混合博弈优化调度.
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- Electric Power Automation Equipment / Dianli Zidonghua Shebei, 2025, v. 45, n. 6, p. 15, doi. 10.16081/j.epae.202409013
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- Article
4
Exploring Japanese stock market volatility using symmetric and asymmetric GARCH models: A case study.
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- Revista de Stiinte Politice / Revue des Sciences Politiques, 2025, n. 86, p. 341
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- Article
5
How Inflation and its Uncertainty Affect Stock Returns: Insights from Borsa Istanbul.
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- Trends in Business & Economics, 2025, v. 39, n. 2, p. 117, doi. 10.16951/trendbusecon.1572654
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- Article
6
US MONETARY POLICY UNCERTAINTY IMPACT ON LATIN AMERICAN CURRENCY MARKET VOLATILITY.
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- Economic Analysis Review / Revista de Análisis Económico, 2025, v. 40, n. 1, p. 67
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- Article
7
Non-Ferrous Metals Market – a Bibliometric Analysis.
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- Annales Universitatis Mariae Curie-Sklodowska, Sectio H: Oeconomia, 2025, v. 59, n. 1, p. 91, doi. 10.17951/h.2025.59.1.91-112
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- Article
8
Modelling Cryptocurrency Price Volatility through the GARCH and EWMA Model.
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- Management & Accounting Review, 2025, v. 24, n. 1, p. 153, doi. 10.24191/mar.v24i01-06
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- Article
9
Modelling Volatility Cycles: The MF2‐GARCH Model.
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- Journal of Applied Econometrics, 2025, v. 40, n. 4, p. 438, doi. 10.1002/jae.3118
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- Article
10
Stock Market Reaction to Integrated Reports.
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- Review of Pacific Basin Financial Markets & Policies, 2025, v. 28, n. 1, p. 1, doi. 10.1142/S0219091525500043
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- Article
11
Assessing Expected Shortfall in Risk Analysis Through Generalized Autoregressive Conditional Heteroskedasticity Modeling and the Application of the Gumbel Distribution.
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- Axioms (2075-1680), 2025, v. 14, n. 5, p. 391, doi. 10.3390/axioms14050391
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- Article
12
Prognozowanie Value-at-Risk dla portfeli inwestycyjnych.
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- Research Papers of the Wroclaw University of Economics / Prace Naukowe Uniwersytetu Ekonomicznego we Wroclawiu, 2025, v. 69, n. 1, p. 118, doi. 10.15611/pn.2025.1.10
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- Article
13
Investigating the impact of investor attention on AI-based stocks: A comprehensive analysis using quantile regression, GARCH, and ARIMA models.
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- PLoS ONE, 2025, v. 20, n. 5, p. 1, doi. 10.1371/journal.pone.0324450
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- Article
14
Dynamics in Realized Volatility Forecasting: Evaluating GARCH Models and Deep Learning Algorithms Across Parameter Variations.
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- Computational Economics, 2025, v. 65, n. 6, p. 3971, doi. 10.1007/s10614-024-10694-2
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- Article
15
Volatility transmission between commodities and Ibovespa in the period 2000–2016: Is there a possibility of diversification?
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- International Economics & Economic Policy, 2020, v. 17, n. 2, p. 483, doi. 10.1007/s10368-019-00458-x
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- Article
16
A multivariate analysis of United States and global real estate investment trusts.
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- International Economics & Economic Policy, 2016, v. 13, n. 3, p. 467, doi. 10.1007/s10368-016-0349-z
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- Article
17
Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts.
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- International Economics & Economic Policy, 2015, v. 12, n. 1, p. 127, doi. 10.1007/s10368-014-0289-4
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- Article
18
The Diversification Benefits within Islamic Investments: The Case of Malaysia-Based Islamic Equity Investors.
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- Pertanika Journal of Social Sciences & Humanities, 2018, v. 26, n. 2, p. 961
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- Article
19
Effect of oil price risk on systematic risk from transportation services industry evidence.
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- Service Industries Journal, 2010, v. 30, n. 11, p. 1853, doi. 10.1080/02642060802626832
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- Article
20
MODELLING VOLATILITY SPILLOVERS, CROSS-MARKET CORRELATION AND CO-MOVEMENTS BETWEEN STOCK MARKETS IN EUROPEAN UNION: AN EMPIRICAL CASE STUDY.
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- Business, Management & Economics Engineering, 2021, v. 19, n. 1, p. 70, doi. 10.3846/bmee.2021.13588
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- Article
21
بهبود خوشهبندی از طریق تشخیص و حذف سریهای زمانی پرت بر اساس رویکرد فاصلهای اقلیدسی ونمایی.
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- Mathematical Researches, 2023, v. 9, n. 1, p. 1
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- Article
22
INTEGRATION OF GARCH MODELS AND EXTERNAL FACTORS IN GOLD PRICE VOLATILITY PREDICTION: ANALYSIS AND COMPARISON OF GARCH-M APPROACH.
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- Eduvest: Journal Of Universal Studies, 2024, v. 4, n. 5, p. 4911, doi. 10.59188/eduvest.v4i5.1195
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- Article
23
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
24
Time-Varying Properties of Stock Returns: An empirical Perspective.
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- Journal of Economic & Social Development (1849-6628), 2023, v. 10, n. 2, p. 128
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- Article
25
Black swan events and stock market behavior in Gulf countries: a comparative analysis of financial crisis (2008) and COVID-19 pandemic.
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- Arab Gulf Journal of Scientific Research, 2024, v. 42, n. 3, p. 805, doi. 10.1108/AGJSR-09-2022-0162
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- Article
26
Filtered Historical Simulation for Initial Margin of Interest Rate Swap Under Korean Market.
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- Emerging Markets Finance & Trade, 2018, v. 54, n. 11, p. 2516, doi. 10.1080/1540496X.2018.1456917
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- Publication type:
- Article
27
Volatility Modeling and Value-at-Risk (VaR) Forecasting of Emerging Stock Markets in the Presence of Long Memory, Asymmetry, and Skewed Heavy Tails.
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- Emerging Markets Finance & Trade, 2016, v. 52, n. 3, p. 639, doi. 10.1080/1540496X.2014.998557
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- Article
28
Correlation Dynamics in East Asian Financial Markets.
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- Emerging Markets Finance & Trade, 2016, v. 52, n. 2, p. 382, doi. 10.1080/1540496X.2014.998560
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- Article
29
Asia-Pacific Stock Return Predictability and Market Information Flows.
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- Emerging Markets Finance & Trade, 2015, v. 51, n. 3, p. 658, doi. 10.1080/1540496X.2015.1046336
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- Publication type:
- Article
30
Does Heterogeneity in Investment Horizons Affect Portfolio Diversification? Some Insights Using M-GARCH-DCC and Wavelet Correlation Analysis.
- Published in:
- Emerging Markets Finance & Trade, 2015, v. 51, n. 1, p. 188, doi. 10.1080/1540496X.2015.1011531
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- Publication type:
- Article
31
Oil Risk and Asset Returns: Evidence from Emerging Markets in the Middle East.
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- Emerging Markets Finance & Trade, 2014, v. 50, p. 169, doi. 10.2753/REE1540-496X5003S310
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- Article
32
The Impact of Firm-Specific Public News on Intraday Market Dynamics: Evidence from the Turkish Stock Market.
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- Emerging Markets Finance & Trade, 2011, v. 47, n. 6, p. 99, doi. 10.2753/REE1540-496X470606
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- Publication type:
- Article
33
The Relationship Between Inflation, Output Growth, and Their Uncertainties: Evidence from Selected CEE Countries.
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- Emerging Markets Finance & Trade, 2011, v. 47, p. 5, doi. 10.2753/REE1540-496X4704S301
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- Article
34
Announcement Effects and Asymmetric Volatility in Industry Stock Returns: Evidence from Taiwan.
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- Emerging Markets Finance & Trade, 2011, v. 47, n. 2, p. 48, doi. 10.2753/REE1540-496X470204
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- Publication type:
- Article
35
Price Behavior of Stock Index Futures: Evidence from the FTSE Xinhua China A50 and H-Share Index Futures Markets.
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- Emerging Markets Finance & Trade, 2011, v. 47, p. 61, doi. 10.2753/REE1540-496X4701S106
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- Publication type:
- Article
36
Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions.
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- Emerging Markets Finance & Trade, 2010, v. 46, n. 5, p. 39, doi. 10.2753/REE1540-496X460503
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- Article
37
The COVID-19 Outbreak and Volatility Spillover Between Stock Exchange's Overall and Small- and Medium-enterprise Indices: Evidence from India.
- Published in:
- Review of Professional Management, 2024, v. 22, n. 1, p. 41, doi. 10.1177/09728686241249332
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- Article
38
A Study on the Performance in BSE Sectoral Indices of India.
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- Review of Professional Management, 2021, v. 19, n. 1, p. 1, doi. 10.20968/rpm/2021/v19/i/158657
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- Article
39
Shock and Volatility Spillovers between Stock Markets of India and Select Asian Economies.
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- Review of Professional Management, 2019, v. 17, n. 1, p. 46, doi. 10.20968/rpm/2019/v17/i1/145649
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- Publication type:
- Article
40
Exploring the Regional Variance using ARMA-GARCH Models.
- Published in:
- Water Resources Management, 2016, v. 30, n. 10, p. 3507, doi. 10.1007/s11269-016-1367-x
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- Publication type:
- Article
41
دراسة قياسية تحليلية لتقلبات عوائد أسهم بورصة الامارات العربية المتحدة باستخدام نماذج عائلة GARCH.
- Published in:
- Economic & Managerial Researshes, 2020, v. 14, n. 3, p. 341
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- Publication type:
- Article
42
Investigating the Leverage Effect and Volatility in the BRIC Countries' Equity Markets After the U.S. Financial Crisis.
- Published in:
- Journal of Wealth Management, 2015, v. 17, n. 4, p. 93, doi. 10.3905/jwm.2015.17.4.093
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- Publication type:
- Article
43
Virtual Spider Threads Interconnecting Globally: From 'Soft Power' to MENA Stock Market Volatility.
- Published in:
- Journal of Wealth Management, 2014, v. 17, n. 2, p. 73, doi. 10.3905/jwm.2014.17.2.073
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- Publication type:
- Article
44
Transmission of U.S. Stock Market Implied Volatility to Equity Markets of Emerging Countries.
- Published in:
- Journal of Wealth Management, 2014, v. 17, n. 2, p. 45, doi. 10.3905/jwm.2014.17.2.045
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- Publication type:
- Article
45
MODELLING VOLATILITY OF PETROLEUM PRODUCTIONS BY USING MARKOV-SWITCHING GARCH MODELS.
- Published in:
- International Journal of Agricultural & Statistical Sciences, 2022, v. 18, p. 1657
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- Publication type:
- Article
46
FORECASTING THE FUZZY HYBRID ARIMA-GARCH MODEL OF STOCK PRICES IN THE IRAQI STOCK EXCHANGE.
- Published in:
- International Journal of Agricultural & Statistical Sciences, 2021, v. 17, p. 2229
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- Publication type:
- Article
47
DETERMINANTS OF GROWTH IN ASSAM, INDIA: A STATISTICAL PERSPECTIVE.
- Published in:
- International Journal of Agricultural & Statistical Sciences, 2021, v. 17, n. 1, p. 279
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- Publication type:
- Article
48
A NOVAL SVR ESTIMATION OF FIGARCH MODEL AND FORECASTING FOR WHITE OIL DATA IN IRAQ.
- Published in:
- International Journal of Agricultural & Statistical Sciences, 2020, v. 16, p. 2125
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- Publication type:
- Article
49
Volatility and spillover analysis between cryptocurrencies and financial indices: a diagonal BEKK and DCC GARCH model approach in support of SDGs.
- Published in:
- Cogent Economics & Finance, 2024, v. 12, n. 1, p. 1, doi. 10.1080/23322039.2024.2437002
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- Article
50
Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India.
- Published in:
- Cogent Economics & Finance, 2023, v. 11, n. 1, p. 1, doi. 10.1080/23322039.2023.2189589
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- Publication type:
- Article