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