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This paper proposes a contemporaneous-threshold smooth transition GARCH (or C-STGARCH) model for dynamic conditional heteroskedasticity. The C-STGARCH model is a generalization to second conditional moments of the contem...

In the presented paper GARCH class models were considered for describing and forecasting market volatility in context of the economic crisis. The sample composition was designed to emphasize models performance in two gro...

The object of the study is identification of the bond yields volatility in selected European countries, during the crisis of Greece’s public finances from 2010 to 2013. For this purpose used GARCH (1.1) model. The spec...

Risk analysis in the financial market requires the correct evaluation of volatility in terms of both prices and asset returns. Disturbances in quality of information, the economic and political situation and investment s...

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, wher...

This study provides an empirical analysis of the volatility dynamics of the Deutscher Aktienindex (DAX) stock index over a 20-year period based on daily observations, specifically from January 2, 2006, to March 20, 202...

This study aimed to examine the influence of green financing and return dynamics on ESG performance in Indonesia’s Islamic banking sector. The issue was important considering the growing role of Islamic banks in promot...

Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivari...

This paper assesses the impact of the Liquidity Program for Growth Sustainability (LPGS) on Latin America and the Caribbean, instrumented by the IDB to confront the regional spillovers of the subprime crisis. This emerge...

This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequal...

Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...

The purpose of this paper is to model variations of Brazil’s exchange rates and global shocks in order to establish if global oil prices and international interest rates (global shocks) have any impact on exchange ra...

The efficiency of financial trading is a fundamental concept in finance, essential to effective price discovery, minimising transaction costs, and maintaining market liquidity. Despite the theoretical robustness of conce...

This study examines the benefits of incorporating Malaysian Real Estate Investment Trusts (REITs) into a mixed-asset portfolio, with a focus on the periods preceding, during, and following the COVID-19 pandemic. The stud...

Abstract In rural areas, unreasonable access of distributed photovoltaic (DPV) may pose a significant challenge to the safe operation of the power network. To address this, determining the maximum hosting capacity of net...

Celem artykułu jest prezentacja wyników badań empirycznych nad integracją rynku akcji w Czechach z rynkiem akcji w obszarze euro, a zatem odpowiedź na pytanie: W jakim stopniu giełdowy rynek akcji w Czechach jest ...

ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) seasonal patterns in volatility, (...

The impact of allowing banks to calculate their capital requirement based on their internal VaR models, and the impact of regulation changes on banks in transitional countries has not been well studied. This paper examin...

INAF PRINSKA 2017 programme 1.05.01.88.04 Comisión Nacional de Investigación Cientifica y Tecnológica (CONICYT) CONICYT FONDECYT 1170618 European Research Council (ERC) 695671 Science & Technology Facilities Counci...