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| Jun 30 2025 |
Necati Altemur , Ibrahim Halil Ekşi , William Ginn and Jamel Saadaoui |
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Effect of geopolitical and environmental disruptions on maritime trade security |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 30 2022 |
Rupika Khanna and Chandan Sharma |
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COVID-19 and volatility in the tourism sector's stocks |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 30 2022 |
Nadia Dridi and Fathi Ayachi |
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The determinants of EURO/TND exchange rate volatility in Tunisia |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 30 2022 |
Tucker S McElroy |
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Stationary parameterization of GARCH processes |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 30 2022 |
Yuta Kurose |
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Bayesian GARCH modeling for return and range |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 30 2022 |
Wenwen Zhang |
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Stock Market Co-movements in RCEP Participating Countries |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 06 2021 |
Gürkan Bozma , Murat Akadg and Rahman Aydin |
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Dynamic Relationships between Oil Price, Inflation and Economic Growth: A VARMA, GARCH-in-mean, asymmetric BEKK Model for Turkey |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 09 2021 |
Sam Devore and Eric Olson |
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The Surprising Stability Between Gas Prices and Expected Inflation |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 24 2020 |
K.P. Prabheesh , Bhavesh Garg and Rakesh Padhan |
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Time-varying dependence between stock markets and oil prices during COVID-19: The case of net oil-exporting countries |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 08 2020 |
Kais Tissaoui , Taha Zaghdoudi and Khaled issa Alfreahat |
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Can intraday public information explain Bitcoin Returns and Volatility? A PGARCH-Based Approach. |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 08 2020 |
Anoop S Kumar |
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Testing Safe Haven Property of Bitcoin and Gold during Covid-19 : Evidence from Multivariate GARCH analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 07 2020 |
Jau-er Chen and Rajarshi Mitra |
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Demographic Shifts and Asset Returns in Japan |
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Abstract Contact Information Citation Full Text - Note |
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| May 19 2020 |
Ilyes Abid , Abderrazak Dhaoui , Khaled Guesmi and Olfa Kaabia |
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Hedging strategy for financial variables and commodities |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 30 2019 |
Cynthia Royal Tori and Scott L. Tori |
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Swedish krona-euro return volatility and non-traditional monetary policies |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 26 2019 |
Amélie Charles and Olivier Darné |
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Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 17 2018 |
Cleomar Gomes da Silva and Gilberto O. Boaretto |
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Inflation and Relative Price Variability in Brazil: A Time-Varying
Parameter Approach |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 15 2018 |
Khaled Khaled , Amel Belanes and Sandrine Kablan |
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The regional pricing of risk: An empirical investigation of the MENA Region |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 23 2018 |
Markus Haas |
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A note on the absolute moments of the bivariate normal distribution |
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Abstract Contact Information Citation Full Text - Note |
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| Feb 27 2018 |
Osamah Al-Khazali , Elie Bouri and David Roubaud |
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The impact of positive and negative macroeconomic news surprises: Gold versus Bitcoin |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2017 |
Balaji Bathmanaban , Raja Sethu Durai S and Ramachandran M |
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The relationship between Output Uncertainty and Economic Growth-Evidence from India |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2017 |
Simeon Ebechidi and Eleanya K. Nduka |
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Modeling the Impact of Oil Price Shocks on Energy Sector Stock Returns: Evidence from Nigeria |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 19 2017 |
Zoundi Zakaria |
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Crude Oil Price Volatility and Domestic Price Responses in Developing Countries, Accounting for Asymmetry and Uncertainty |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 26 2017 |
Bala A. Dahiru , Pam W. Jim and Kalu N. Nwonyuku |
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Equity markets volatility dynamics in developed and newly emerging economies: EGARCH-with-skewed-t density approach |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 26 2017 |
Fernanda Maria Müller and Fábio M Bayer |
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Improved two-component tests in Beta-Skew-t-EGARCH models |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 05 2017 |
Angelo Salton and Regis A. Ely |
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Uncertainty and growth: evidence of emerging and developed countries |
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Abstract Contact Information Citation Full Text - Note |
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| May 05 2017 |
Nidhal Mgadmi and Khemaies Bougatef |
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Modeling volatility of the French stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 20 2017 |
Mirzosaid Sultonov |
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The impacts of the oil price fall on the exchange rates of ASEAN-5: Evidence from the 2014 oil price shock |
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Abstract Contact Information Citation Full Text - Note |
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| Dec 10 2016 |
Valeriya V. Lakshina and Andrey M. Silaev |
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Fluke of stochastic volatility versus GARCH inevitability or which model creates better forecasts? |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 26 2016 |
Dimitrios Dimitriou |
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Greek debt negotiations and VIX currency indices: A HYGARCH approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 03 2016 |
Jamal Bouoiyour and Refk Selmi |
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Bitcoin: a beginning of a new phase? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 08 2016 |
Afees A. Salisu |
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Modelling Oil Price Volatility with the Beta-Skew-t-EGARCH Framework |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 11 2016 |
Sandrine Kablan and Khaled Guesmi |
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Financial Integration and Japanese Stock market Performance |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 17 2016 |
Riyad Abubaker |
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Consumption and Money Uncertainty at the Zero Lower Bound |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 18 2015 |
Walid Chkili |
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Gold–oil prices co-movements and portfolio diversification implications |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Nov 29 2015 |
Mourad Zmami and Ousama Ben-Salha |
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The adjustment of plant-level investment to exchange rate fluctuations in Tunisia: do the size and the ownership structure matter? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 02 2015 |
Franck Martin and Mai lan Nguyen |
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Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 01 2015 |
Rachida Hennani and Michel Terraza |
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Contributions of a noisy chaotic model to the stressed Value-at-Risk |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 11 2015 |
Yu Hsing |
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Short-Run Determinants of the USD/MYR Exchange Rate |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 11 2015 |
Prateek Sharma and Swati Sharma |
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Forecasting gains of robust realized variance estimators: evidence from European stock markets |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 24 2014 |
Arcade Ndoricimpa |
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Bootstrap causality between inflation uncertainty and output growth uncertainty in selected African countries |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 26 2014 |
Marcelo Griebeler |
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Models for forecasting exchange rate volatility: a comparison between developed and emerging countries |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 20 2014 |
Franck Martin and Jiangxingyun Zhang |
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Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 31 2014 |
Khaled GUESMI and Salma FATTOUM |
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The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Feb 04 2014 |
Jamal Bouoiyour and Refk Selmi |
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Commodity price uncertainty and manufactured exports in Morocco and Tunisia: Some insights from a novel GARCH model |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 27 2013 |
Paulo Sergio Ceretta , Alexandre Silva da Costa , Marcelo Brutti Righi and Fernanda Maria Müller |
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A 10 min tick volatility analysis between the Ibovespa and the S&P500 |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 05 2013 |
Maddalena Cavicchioli |
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On asymptotic properties of the QLM estimators for GARCH models |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 05 2013 |
Khaled Guesmi , Mohamed Hedi Arouri , Ilyes Abid and Frédéric Teulon |
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On the Determinants of Equity International Risk Premium: Are Emerging Zones Different? |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 22 2012 |
Gijsbert Suren and Guilherme Moura |
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Heteroskedastic Dynamic Factor Models: A Monte Carlo Study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 08 2012 |
Mohamed El Hédi Arouri , Amine Lahiani and Duc Khuong Nguyen |
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Oil-stock volatility transmission, portfolio selection and hedging |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 01 2012 |
Takuji Kinkyo |
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De facto exchange rate regimes in post-crisis Asia |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 23 2012 |
Paulo Sergio Ceretta , Marcelo Brutti Righi , Alexandre Silva Da costa and Fernanda Maria Muller |
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Quantiles autocorrelation in stock markets returns |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 03 2012 |
João Caldeira , Guilherme Moura and André A.P. Santos |
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Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 20 2012 |
Aymen Belgacem and Amine Lahiani |
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More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 26 2012 |
Dimitrios P. Louzis , Spyros Xanthopoulos - Sissinis and Apostolos P. Refenes |
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Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 28 2011 |
Dean Fantazzini |
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Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2011 |
Chia Ricky Chee-Jiun and Lim Shiok Ye |
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Stock Market Anomalies in South Africa and its Neighbouring Countries |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 24 2011 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 24 2011 |
Tolga Omay |
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The relationship between inflation, output growth, and their uncertainties:
Nonlinear Multivariate GARCH-M evidence |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 12 2011 |
Khaled Guesmi |
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What Drives the Regional Integration of Emerging Stock Markets? |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2011 |
Tran MANH Tuyen |
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Modeling Volatility Using GARCH Models: Evidence from Vietnam |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 13 2011 |
Marcelo Brutti Righi and Paulo Sérgio Ceretta |
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 05 2011 |
Virginie Coudert and Hélène Raymond-Feingold |
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Gold and financial assets: Are there any safe havens in bear markets? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 15 2011 |
Fardous Alom , Bert D Ward and Baiding Hu |
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Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 10 2011 |
Khaled Guesmi |
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Time varying regional integration in emerging stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 15 2011 |
Chaker Aloui Mr and Ben hamida Hela miss |
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Hurst's exponent behaviour, weak-form stock market efficiency
and financial liberalization: the Tunisian case
|
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Abstract Contact Information Citation Full Text - Note |
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| Jan 10 2011 |
Julien Chevallier |
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Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 08 2010 |
Kamel malik Bensafta |
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Non-stationary Variance and Volatility Causality |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 03 2010 |
George Milunovich and Ronald Ripple |
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Crude Oil Volatility: Hedgers or Investors |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 16 2010 |
Dean Fantazzini |
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Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 12 2010 |
Tho D.Q. Nguyen and Jian Wu |
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Spillover impacts of the US macroeconomic news: Australian sectoral perspective |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2010 |
Julien Chevallier |
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Volatility forecasting of carbon prices using factor models |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 21 2010 |
Arouri Mohamed El Hédi and Jawadi Fredj |
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On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 16 2009 |
Jui-Cheng Hung , Ren-Xi Ni and Matthew C. Chang |
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The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500 |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 05 2009 |
Ching-Chun Wei |
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An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return |
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Abstract Contact Information Citation Full Text - Note |
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| May 04 2009 |
Jim Lee |
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Food and Energy Prices in Core Inflation |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 14 2009 |
Giam Quang Do , Michael Mcaleer and Songsak Sriboonchitta |
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Effects of international gold market on stock exchange volatility:
evidence from asean emerging stock markets
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 01 2009 |
Anthony N Rezitis and Konstantinos S Stavropoulos |
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Modeling sheep supply response under asymmetric price volatility and cap reforms |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 28 2008 |
Wan-Hsiu Cheng |
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Overestimation in the Traditional GARCH Model During Jump Periods |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 14 2008 |
William Shambora and Shamila Jayasuriya |
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The world is shrinking: Evidence for stock market convergence |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 10 2008 |
Ching-Chun Wei |
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Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 10 2008 |
Ching-Chun Wei |
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The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 07 2008 |
Venus Khim-Sen Liew , Ricky Chee-Jiun Chia and Syed Azizi Wafa Syed Khalid Wafa |
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Day-of-the-week effects in Selected East Asian stock markets |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 06 2008 |
Duc NGUYEN |
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An empirical analysis of structural changes in emerging market volatility |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 14 2007 |
Yen-Hsien Lee , Tung-Yueh Pai and Chien-Liang Chiu |
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Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 02 2007 |
Venus Khim-Sen Liew , Wing-Keung Wong and Zhuo Qiao |
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Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2007 |
Yen-Hsien Lee and Chien-Liang Chiu |
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The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 13 2005 |
Marco Barassi |
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On KPSS with GARCH errors |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 28 2005 |
Yu Hsing |
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Application of the IS-MP-IA model to the German economy and policy implications |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 07 2004 |
Jorge Belaire-Franch and Dulce Contreras |
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A power comparison among tests for time reversibility |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 18 2004 |
AROURI Mohamed El Hedi |
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The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk. |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 29 2003 |
Jérôme Fillol |
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Multifractality: Theory and Evidence an Application to the French Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 05 2002 |
Yi-Ting Chen |
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On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study |
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Abstract Contact Information Citation Full Text - Note |
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