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Yassin Ibrahim Eltahir,Osama Azmi Sallam,Hussien Omer Osman,Fethi Klabi
Pág. 14 - 22
This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of ...
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Rasaki Olawale Olanrewaju
Pág. 35 - 43
The paper authenticated the need for separate positive integer time series model(s). This was done from the standpoint of a proposal for both mixtures of continuous and discrete time series models. Positive integer time series data are time series data s...
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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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Marwa A. Elsherif
Pág. 1209 - 1216
Egypt has passed through different development stages, followed different exchange rate regime at each, ranging from fixed to floating. This study tries to examine empirically how Central Bank of Egypt actions influence exchange rate volatility using GAR...
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This paper documents asymmetries in the spread between mortgages loan rate and central bank discount rates also known as the . mortgage loan premium in Taiwan... Empirical results revealed that the mortgage loan premium adjusts to the threshold fas...
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Francisco Eduardo de Luna e Almeida Santos
Pág. 1 - 11
The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identi?cation through heteroskedasticity. Both coef?cients were found to...
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José Paulo de Lucca Ramos,Newton Carneiro Affonso da Costa Jr.
Pág. pp. 75 - 90
This work compares the traditional methodology for ratio analysis, applied to a sample of Brazilian firms, with the alternative one of regression analysis both to cross-industry and intra-industry samples. It was tested the structural validity of the tra...
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Tendai Makoni,Delson Chikobvu
AbstractAccurate tourism volatility forecasts for popular tourist destinations, like the Victoria Falls Rainforest, are vital to tourism destination managers and policymakers. The Victoria Falls Rainforest in Zimbabwe is under the town of Victoria Falls ...
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Darman Saputra
Pág. 24 - 30
The Least Square Dummy Variable (LSDV) method can be used to estimate parameters in the panel data regression model incomplete one-way fixed effect. To produce the best model with GDP data of GRASB. Variables that do not occur heteroscedasticity and mode...
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Angela Maria Marcone de Araujo, Josmar Mazucheli, Carlos Alberto Scapim, Fernando Alves de Albuquerque, Marcelo Vivas
Pág. e31008
Using the number of thrips found in the maize seedlings from a longitudinal study, in this work a regression analysis was conducted through polynomial models and nonlinear logistic, under the assumption of homoscedasticity and multiplicative ...
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Angela Maria Marcone de Araujo, Josmar Mazucheli, Carlos Alberto Scapim, Fernando Alves de Albuquerque, Marcelo Vivas (Author)
Pág. e31008
Using the number of thrips found in the maize seedlings from a longitudinal study, in this work a regression analysis was conducted through polynomial models and nonlinear logistic, under the assumption of homoscedasticity and multiplicative ...
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Abdullahi Osman Ali
Pág. 35 - 39
The main aim of this investigation was to model the volatility of Somali shilling against US dollar by using monthly data covering from 1950 to 2010. Further to that, this finding has adopted both symmetric and asymmetric generalized autoregressive condi...
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Pieter-Henk Boer,Elias Munapo,Martin Chanza,Issaah A. Mhlanga
AbstractOrientation: Exchange market pressure (EMP) is the selling pressure of domestic currency or excess demand needed for foreign currency.Research purpose: The purpose of this study was to analyse EMP using extreme value theory (EVT) and to...
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Rashid Latief and Lin Lefen
The ?One Belt and One Road? (OBOR) project was started by the Chinese government with the aim of achieving sustainable economic development and increasing cooperation with other countries. This project has five major objectives, which include (i) increas...
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Pierre-Julien Trombe, Pierre Pinson and Henrik Madsen
Accurate wind power forecasts highly contribute to the integration of wind power into power systems. The focus of the present study is on large-scale offshore wind farms and the complexity of generating accurate probabilistic forecasts of wind power fluc...
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Jelena Radojicic,Ognjen Radovic
Pág. 053 - 069
This paper examines the market efficiency of the most significant cryptocurrencies, Bitcoin and Ethereum. In the paper, we use several different tests to check the normality of return distribution, long-run correlation and heteroscedasticity of retu...
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Nikola Radivojevic, Milena Cvjetkovic, Sa?a Stepanov
Pág. pp. 29 - 52
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring ma...
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Hsien-Yi Lee
Pág. 41 - 53
The sub prime mortgages crises took place in July, 2007 in US which causes the large scare in the global financial markets, and the international stock and foreign market suffer heavy shock. Using twenty international stock indexes, this study examines w...
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George Djolov
Pág. pp. 327 - 339
This article introduces (and hopes to encourage thereby) the econometrics practitioner to (use) a homoscedasticity test referred to in the field of statistics as the modified Levene test. Econometrics orthodoxy (from University to practice level) has foc...
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Yessi Panjaitan, Sarah Sitanggang, Keumala Hayati
Pág. 1138 - 1147
The purpose of this study is to determine the Total Asset Turnover, Return On Asset, Curent Ratio, and Earning Per Share on stock prices of manufacturing companies on the IDX. Any data required is official data from the annual financial report that comes...
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