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Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model

Jawadi, Fredj; Louhichi, Wael; Cheffou, Abdoulkarim Idi; … - In: Decision making and risk/return optimization in …, (pp. 275-295). 2019

Persistent link: https://www.econbiz.de/10012134816

The determinants of bank's stock volatility

Topaloğlu, Emre Esat; Sakur, Reşat; Yaman, Serdar - In: Evoluation of money, banking and financial crisis : …, (pp. 323-338). 2020

Persistent link: https://www.econbiz.de/10012802552

Market risk under a price limit regime : evidence for Chinese stock markets

Friedmann, Ralph; Sanddorf-Köhle, Walter G. - 2001

Persistent link: https://www.econbiz.de/10001615095

The impact of quantitative easing on stock market : evidence from Greece

Karagiannopoulou, Sofia; Patsis, Paris; Sariannidis, … - In: Business Development and Economic Governance in …, (pp. 297-313). 2022

Persistent link: https://www.econbiz.de/10013415082

ARCH models and an application on exchange rate volatility : ARCH and GARCH models

Kantar, Lokman - In: Handbook of research on emerging theories, models, and …, (pp. 287-300). 2021

currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial … accurate determination of volatility. Since the changes in asset prices are not linear, volatilities in prices are determined … the validity of these models through a Turkey application on exchange rate volatility. The findings of the study have …

Persistent link: https://www.econbiz.de/10012604258

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...

Persistent link: https://www.econbiz.de/10012604174