Zobrazeno 1 - 10
of 50
pro vyhledávání: '"Yong-Chern Su"'
Publikováno v:
International Journal of Economics and Financial Issues, Vol 6, Iss 2, Pp 756-764 (2016)
This study investigates commercial bank market efficiency in financial crisis. We employ a time-varying GARCH model because volatility matters in financial crisis. The empirical results show a significant positive relation between contemporaneous ord
Externí odkaz:
https://doaj.org/article/b95c5ee371e64b5798a49d228a29834f
Publikováno v:
International Journal of Economics and Financial Issues, Vol 5, Iss 2, Pp 390-398 (2015)
This paper uses four asymmetric GARCH models, which are GJR-GARCH, NA-GARCH, T-GARCH, and AV-GARCH to compare their performance on VaR forecasting to the symmetric GARCH model. In addition, we adopt four different mean equations which are ARMA(1,1),
Externí odkaz:
https://doaj.org/article/70effe1604ba40188e25968985c06728
Publikováno v:
Banks and Bank Systems, Vol 8, Iss 1 (2017)
Externí odkaz:
https://doaj.org/article/6e31e342201d4ffbac15b1b8c696dff7
Publikováno v:
International Journal of Economics and Financial Issues, Vol 3, Iss 3, Pp 591-601 (2013)
This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time
Externí odkaz:
https://doaj.org/article/eff87dff3f12448c8fd45f220ad2504f
Publikováno v:
Investment Management & Financial Innovations, Vol 11, Iss 2 (2014)
Externí odkaz:
https://doaj.org/article/2ed88428da6d4b13bfb018c54e9e3d3f
Publikováno v:
Banks and Bank Systems, Vol 9, Iss 1 (2014)
Externí odkaz:
https://doaj.org/article/e0c4ab60e5bb45be864f7e554f0308b9
Publikováno v:
Investment Management & Financial Innovations, Vol 10, Iss 2 (2013)
Externí odkaz:
https://doaj.org/article/aa862b5d22284b9b96915a74d7a6d58e
Publikováno v:
Banks and Bank Systems, Vol 7, Iss 1 (2012)
Externí odkaz:
https://doaj.org/article/4e7780e61bed4715a58b110845b3eae2
Publikováno v:
Banks and Bank Systems, Vol 7, Iss 1 (2012)
Externí odkaz:
https://doaj.org/article/04ec6a91bed14ad3ad2aa30d8db08b19
Publikováno v:
Banks and Bank Systems, Vol 6, Iss 2 (2011)
Externí odkaz:
https://doaj.org/article/95cea877de344905be1c86a0f30e976d