Zobrazeno 1 - 5
of 5
pro vyhledávání: '"volatility persistency"'
Autor:
Samet Günay
Publikováno v:
International Journal of Financial Studies, Vol 2, Iss 4, Pp 315-334 (2014)
In this study, the scaling properties of the oil and gold return volatilities have been analyzed in the context of bull and bear periods. In the determination of bull and bear turning points, we used the Modified Bry-Boschan Quarterly (MBBQ) algorith
Externí odkaz:
https://doaj.org/article/6bb89feb5b6b4e90bef8fc7aa201e0a2
Autor:
Ender Baykut, Veysel Kula
Publikováno v:
Muhasebe ve Finans İncelemeleri Dergisi, Vol 1, Iss 1, Pp 38-59 (2018)
Bu çalışmanın amacı, BİST Şehir endekslerinin volatilite ve rejim yapılarını 2012-2017 arası döneme ilişkin günlük kapanış değerleri üzerinden karşılaştırmaktır. XSADA, XSANT, XSANK, XSBAL, XSBUR, XSDNZ, XSIST, XSIZM, XSKAY, X
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doajarticles::67481d0a78ffe09f824aadde30c6a4a0
https://dergipark.org.tr/tr/pub/mufider/issue/35950/382687
https://dergipark.org.tr/tr/pub/mufider/issue/35950/382687
Autor:
Veysel Kula, Ender Baykut
Publikováno v:
Volume: 1, Issue: 1 38-59
Muhasebe ve Finans İncelemeleri Dergisi
Muhasebe ve Finans İncelemeleri Dergisi
Thisstudy attempts to determine volatility and regime switching structure of BISTCıty Indices over 2012-2017 period by using daily closing values. Threeasymmetrical (EGARCH, TGARCH and PARCH) as well as two symmetrical (ARCH andGARCH) models were te
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3fd076d20b4a4b8c2947a1255a06b476
https://dergipark.org.tr/tr/pub/mufider/issue/35950/382687
https://dergipark.org.tr/tr/pub/mufider/issue/35950/382687
Publikováno v:
Dias, G F, Scherrer, C & Papailias, F 2016 ' Volatility Discovery ' Institut for Økonomi, Aarhus Universitet, Aarhus .
There is a large literature that investigates how homogenous securities traded on different markets incorporate new information (price discovery analysis). We extend this concept to the stochastic volatility process and investigate how markets contri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::112fbef6114b2103e10d734aaf9cef50
https://pure.au.dk/portal/da/publications/volatility-discovery(9a8691b4-cd09-4e91-9f33-58f53f869104).html
https://pure.au.dk/portal/da/publications/volatility-discovery(9a8691b4-cd09-4e91-9f33-58f53f869104).html
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