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Amado Peiró
Pág. 1338 - 1343
This paper argues that a simple white noise process with one jump in its unconditional variance may give rise to the presence of ARCH effects, and, surprisingly, this may occur in determinate circumstances even when the jump is very brief. Though ARCH ef...
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João Gabe,Marcelo Savino Portugal
Pág. pp. 47 - 73
The main goal this article was to find the best way of making forecast about future volatility using implicit or statistic forecast. The work is based on Telemar S.A. shares data from 21/09/1998 to 21/10/2002 and Telemar S.A. shares data from 2/10/2000 t...
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Fernando Antonio Lucena Aiube,Carlos Patrício Samanez,Larissa de Oliveira Resende,Tara Keshar Nanda Baidya
Pág. 511 - 535
We examine the ability of three different GARCH-class models, with four innovation distributions, to capture the volatility properties of natural gas futures contracts traded on the New York Mercantile Exchange. We jointly estimate the long-memory proces...
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Ramesh Adhikari, Kyle J. Putnam and Humnath Panta
This paper examines the performance of a naïve equally weighted buy-and-hold portfolio and optimization-based commodity futures portfolios for various lookback and holding periods using data from January 1986 to December 2018. The application of Monte Ca...
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Jaka Sriyana,Abdul Hakim
Pág. 68 - 72
This paper models fiscal sustainability in Indonesia using the measure of liabilities-to-asset ratio (LAR), a simple measure of a country?s balanced-sheet. It uses the approach of conditional Value-at-Risk (VaR), assuming normal or t distributions, to de...
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Dr. Nessrine HAMZAOUI ALOUI
Pág. 2400 - 2407
The purpose of this paper is to analyze the JPY/USD and the CAD/USD forward exchange premiums by adopting the ARCH/GARCH modeling, given its descriptive and predictive advantages. We estimate a symmetric linear model by taking into account the effect of ...
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Bichwi Yun, Yoon C. Cho
Understanding the publics interest toward public policy and advertising has become a central issue in marketing and public policy. The purpose of the study was to investigate how the public perceives policy advertising and how their perceptions affect a...
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Hisao Kumamoto,Masao Kumamoto
Pág. 698 - 704
This study investigates the impacts of the degree of currency substitution on nominal exchange rate volatility in seven countries (Indonesia, the Philippines, the Czech Republic, Hungary, Poland, Argentina, and Peru). We use the Threshold ARCH model to c...
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Hatice Erkekoglu,Aweng Peter Majok Garang,Adire Simon Deng
Pág. 268 - 281
Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfo...
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Ibrahim Seck and Joël Van Baelen
Optimal Quantitative Precipitation Estimation (QPE) of rainfall is crucial to the accuracy of hydrological models, especially over urban catchments. Small-to-medium size towns are often equipped with sparse rain gauge networks that struggle to capture th...
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Fethi Belhaj,Ezzeddine ABAOUB
Pág. 354 - 364
This paper empirically examines the relationship between trading volume and conditional volatility of returns in the Tunisian Stock Market within the framework of the Mixture of Distribution Hypothesis (MDH) and the Sequential Information Arrival Hy...
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John Muteba Mwamba, Donovan Beytell
This paper uses closing prices of the BRICS (Brazil, Russia, India, China, and South Africa) financial markets to implement a risk model that generates point estimates of both Value at Risk (VaR); and Expected Shortfall (ES). The risk model is thereafter...
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Haksu Lee, Haojing Shen and Dong-Jun Seo
This paper presents a comparative geometric analysis of the conditional bias (CB)-informed Kalman filter (KF) with the Kalman filter (KF) in the Euclidean space. The CB-informed KFs considered include the CB-penalized KF (CBPKF) and its ensemble extensio...
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Yassine Belasri,Rachid Ellaia
Pág. 384 - 396
Volatility and correlation are important metrics of risk evaluation for financial markets worldwide. The latter have shown that these tools are varying over time, thus, they require an appropriate estimation models to adequately capture their dynamics. M...
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Faizul Mubarok,Mohammad Masykur Fadhli
Pág. in press
The presence of the stock market has helped to increase economic growth in a country. However, high levels of volatility plus economic uncertainty make investors have to rethink investing in the capital market. This study aims to examine the share of eac...
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Samih Antoine Azar,Philip Karam
Pág. 172 - 180
The purpose of this paper is to estimate a parsimonious model of money demand. The model relates international crude oil prices to the US money stock with the addition of a valuation adjustment. The main conometric estimation procedure is the autore...
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Afees A. Salisu, Kazeem O. Isah, Alberto Assandri
Pág. 255 - 283
This study examines probable dynamic spillover transmissions between the Nigerian stock and money markets using the multivariate volatility framework that simultaneously accounts for both returns and shock spillovers. Based on relevant pre-tests, the VAR...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 1608 - 1615
This paper empirically investigates the volatility dynamics of the EUR/USD forward premium via GARCH-M (1,1) and GJR-GARCH(1,1) and GJR-GARCH(1,1)-M models. Our empirical analysis is based on daily data related to the EUR/USD forward premiums. Our daily ...
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Nessrine Hamzaoui,Boutheina Regaieg
Pág. 694 - 702
This paper empirically examines the interdependence between the foreign exchange forward premiums and the spot exchange return through a Multivariate GARCH type framework. The purpose of this study is to test the correlation sensitivity to shocks a...
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Pág. 87 - 106
Asymmetries in the Vietnamese lending-deposit rate spread (intermediation premium) were documented. Empirical results revealed that the intermediation premium adjusts to the threshold faster when the deposit rates increase relative to the lending rates t...
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