Zobrazeno 1 - 5
of 5
pro vyhledávání: '"garch, asymmetry"'
Publikováno v:
Copernican Journal of Finance & Accounting, Vol 4, Iss 2, Pp 9-25 (2015)
The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which re
Externí odkaz:
https://doaj.org/article/1af07f8b91ec4474aba4d77addd19b53
Autor:
Nasser Khiabani, Manouchehr Dehghani
Publikováno v:
فصلنامه پژوهشهای اقتصادی ایران, Vol 19, Iss 58, Pp 207-238 (2014)
Undoubtedly, new developments in information and trading technologies have increased the integration of international financial markets in the world. This in turn has generated interest in examining the volatility transmission of financial market acr
Externí odkaz:
https://doaj.org/article/00dd5d3051a844f788c4bb7561358a2d
Publikováno v:
Copernican Journal of Finance & Accounting, Vol 4, Iss 2, Pp 9-25 (2015)
The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5f304ff431fa76aa552564a8b5809487
https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/8193
https://apcz.umk.pl/czasopisma/index.php/CJFA/article/view/8193
Autor:
Giuseppe Storti
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BL-GARCH model proposed by Storti and V
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01a18af55ca1beac3df0140db0aa5aa5
http://hdl.handle.net/11386/1851102
http://hdl.handle.net/11386/1851102
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