Search Results

Impact of derivatives trading on spot market volatility: an empirical study

Authors: Tripathy, Naliniprava; Rao, S.V. Ramana; Kanagaraj, A.

Source: International Journal of Applied Decision Sciences, Volume 2, Number 2, 19 June 2009 , pp. 209-232(24)

Publisher: Inderscience Publishers

APPROXIMATING VOLATILITIES BY ASYMMETRIC POWER GARCH FUNCTIONS

Authors: Penzer, Jeremy; Wang, Mingjin; Yao, Qiwei

Source: Australian & New Zealand Journal of Statistics, Volume 51, Number 2, June 2009 , pp. 201-225(25)

Publisher: Blackwell Publishing

Time-varying asset allocation across hedge fund indices

Authors: Switzer, Lorne N; Omelchak, Andrey

Source: Journal of Derivatives & Hedge Funds, Volume 15, Number 1, May 2009 , pp. 70-85(16)

Publisher: Palgrave Macmillan

Information transmission between Islamic stock indices in South East Asia

Authors: Rahim, Fahmi Abdul; Ahmad, Noryati; Ahmad, Ismail

Source: International Journal of Islamic and Middle Eastern Finance and Management, Volume 2, Number 1, 2009 , pp. 7-19(13)

Publisher: Emerald Group Publishing Limited

The asymmetric volatility of house prices in the UK

Authors: Tsai, I-Chun; Chen, Ming-Chi

Source: Property Management, Volume 27, Number 2, 2009 , pp. 80-90(11)

Publisher: Emerald Group Publishing Limited

Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

Authors: McAleer, Michael; Hoti, Suhejla; Chan, Felix

Source: Econometric Reviews, Volume 28, Number 5, September 2009 , pp. 422-440(19)

Publisher: Taylor and Francis Ltd

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

Author: Ardia, David

Source: The Econometrics Journal, Volume 12, Number 1, March 2009 , pp. 105-126(22)

Publisher: Blackwell Publishing

Asymptotic variance-covariance matrix of sample autocorrelations for threshold-asymmetric GARCH processes

Authors: Hwang, S. Y.; Baek, J. S.

Source: Statistics, Volume 43, Number 1, February 2009 , pp. 35-51(17)

Publisher: Taylor and Francis Ltd

Multiple asymmetries in index stock returns from boom/bust and stable/volatile markets states- an empirical study of US and UK stock markets

Author: Li, Ming-Yuan Leon

Source: Applied Economics Letters, Volume 16, Number 2, February 2009 , pp. 183-191(9)

Publisher: Routledge, part of the Taylor & Francis Group

Parameterizing Unconditional Skewness in Models for Financial Time Series

Authors: He, Changli; Silvennoinen, Annastiina; Tersvirta, Timo

Source: Journal of Financial Econometrics, Volume 6, Number 2, 21 February 2008 , pp. 208-230(23)

Publisher: Oxford University Press

Economic Liberalization and Conditional Volatility of Exchange Rate in Sub-Saharan Africa: Asymmetric GARCH Analysis

Authors: Nandwa, Boaz; Andoh, Samuel K.

Source: African Development Review, Volume 20, Number 3, December/Décembre 2008 , pp. 426-445(20)

Publisher: Blackwell Publishing

The payoff and implied pricing kernel in REITs

Author: Hsu, Hsiao-Tang

Source: Applied Economics, Volume 40, Number 21, November 2008 , pp. 2775-2783(9)

Publisher: Routledge, part of the Taylor & Francis Group

Impact study of volatility modelling of Bangladesh stock index using non-normal density

Authors: Rahman, Md. Mostafizur; Zhu, Jian-Ping; Rahman, M. Sayedur

Source: Journal of Applied Statistics, Volume 35, Number 11, 2008 , pp. 1277-1292(16)

Publisher: Routledge, part of the Taylor & Francis Group

Empirical evidence on feedback trading in mature and emerging stock markets

Authors: Bohl, Martin; Siklos, Pierre

Source: Applied Financial Economics, Volume 18, Number 17, September 2008 , pp. 1379-1389(11)

Publisher: Routledge, part of the Taylor & Francis Group

Estimating stock market volatility using asymmetric GARCH models

Authors: Alberg, Dima; Shalit, Haim; Yosef, Rami

Source: Applied Financial Economics, Volume 18, Number 15, August 2008 , pp. 1201-1208(8)

Publisher: Routledge, part of the Taylor & Francis Group

Modelling asymmetric volatility dynamics by multivariate BL-GARCH models

Author: Storti, Giuseppe

Source: Statistical Methods and Applications, Volume 17, Number 2, May 2008 , pp. 251-274(24)

Publisher: Springer

Volatility forecasts: the role of asymmetric and long-memory dynamics and regional evidence

Authors: Evans, Twm; McMillan, David

Source: Applied Financial Economics, Volume 17, Number 17, November 2007 , pp. 1421-1430(10)

Publisher: Routledge, part of the Taylor & Francis Group

A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH

Author: Bauer, Christian

Source: The European Journal of Finance, Volume 13, Number 1, January 2007 , pp. 65-87(23)

Publisher: Routledge, part of the Taylor & Francis Group

Volatility transmission across markets: a Multichain Markov Switching model

Authors: Gallo, Giampiero M.; Otranto, Edoardo

Source: Applied Financial Economics, Volume 17, Number 8, May 2007 , pp. 659-670(12)

Publisher: Routledge, part of the Taylor & Francis Group

International linkages of the Chinese stock exchanges: a multivariate GARCH analysis

Author: Li, Hong

Source: Applied Financial Economics, Volume 17, Number 4, February 2007 , pp. 285-297(13)

Publisher: Routledge, part of the Taylor & Francis Group