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[PDF] Top 20 Modeling and Forecasting Volatility of the Malaysian Stock Markets

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Modeling and Forecasting Volatility of the Malaysian Stock Markets

Modeling and Forecasting Volatility of the Malaysian Stock Markets

... in the modeling of high-frequency (weekly, daily or intra-daily) ...only the mean response could be changing with covariates while the variance remains constant over time often revealed ... See full document

7

Long memory and volatility clustering: is the empirical evidence consistent across stock markets?

Long memory and volatility clustering: is the empirical evidence consistent across stock markets?

... Within the traditional approach we have considered the GARCH (1, 1), IGARCH (1, 1) and FIGARCH (1, d, 1) specifications, whose main results are listed in Table ...1. The conclusions are ... See full document

11

Volatility modeling based on garch-skewed-t-type models for chinese stock market

Volatility modeling based on garch-skewed-t-type models for chinese stock market

... performed the test of modelling and forecasting the stock market volatility of SSE Composite Index(daily closing prices over the period extending from July ... See full document

54

Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries

Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries

... day of the week and month of the year effects in seventeen European stock market indexes in the period ...discuss the shortcomings of model specifications ... See full document

32

On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets

On the conditional behavior of stock market volatility: a sub-sample analysis using the FIGARCH approach for developed and emerging markets

... characteristic of stock markets that has major consequences in financial activities such as risk management, investment decisions and portfolio valuation, to cite just a ...risk and ... See full document

7

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

... study the dynamic of the Brazilian stock market is explored from the point of view of the behavior of a group of stocks that were frequently present ... See full document

19

Entropy: a new measure of stock market volatility?

Entropy: a new measure of stock market volatility?

... In the overall, it appears that the use of entropy as a measure of uncertainty allows better insights over the identification of volatile markets, by distinguishing them ... See full document

7

Modeling and predicting the CBOE market volatility index

Modeling and predicting the CBOE market volatility index

... examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange ...(CBOE). The motivation lies not only on ... See full document

31

Elections and stock market volatility: evidence in OECD countries and developing countries

Elections and stock market volatility: evidence in OECD countries and developing countries

... confirm the relationship between politics and stock market ...In the paper by (Bialkowski, Gottschalk, & Wisniewski, 2008) the authors proceed to show that, in OECD countries, ... See full document

53

Return co-movements and volatility spillovers across United States of America and euro area stock markets

Return co-movements and volatility spillovers across United States of America and euro area stock markets

... some of the following results. Focusing first in the return co-movements, time-varying correlations are fitter to represent ...Greece and United States stand out as the two most ... See full document

54

Towards operational modeling and forecasting of the Iberian shelves ecosystem.

Towards operational modeling and forecasting of the Iberian shelves ecosystem.

... biological and chemical variables has become an issue of concern over the last ...years. The demand for this kind of information arises from a range of fields and ... See full document

12

Asymmetric conditional volatility in international stock markets

Asymmetric conditional volatility in international stock markets

... above, the leverage effect was found in many empirical studies that analyse the behaviour of stock ...highlights the need for using asymmetric models when one is analysing data on ... See full document

13

Forecasting Stock Markets Using Machine Learning

Forecasting Stock Markets Using Machine Learning

... Predicting stock market prices is far from being a trivial task. The uncertainty and volatility that characterize stock markets makes very hard and sometimes even ... See full document

58

Modeling stock markets through the reconstruction of market processes

Modeling stock markets through the reconstruction of market processes

... to the Shareholders of Berkshire Hathaway ...quoted the American economist Ben Graham as "In the short-run, the market is a voting machine — reflecting a voter-registration test ... See full document

49

Forecasting volatility using GARCH models

Forecasting volatility using GARCH models

... that stock returns are negatively correlated with changes in returns ...that volatility tends to increase in response to bad news and decrease in response to good ...that the magnitude ... See full document

58

On the integrated behaviour of non-stationary volatility in stock markets

On the integrated behaviour of non-stationary volatility in stock markets

... analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 ... See full document

13

Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions

Modeling stock markets' volatility using GARCH models with normal, Student's t and stable Paretian distributions

... is the peer reviewed version of the following article: Curto, ...(2009). Modeling stock markets' volatility using GARCH models with normal, Student's t and stable ... See full document

22

INSTITUTO SUPERIOR DE ECONOMIA E GESTÃO

INSTITUTO SUPERIOR DE ECONOMIA E GESTÃO

... Finally, the purely local volatility effects are larger for Austria, Ireland and Portugal (means of ...81.91% and 88%, respectively) than for the other countries (the ... See full document

69

Determinants and Consequences of   the Website Perceived Value

Determinants and Consequences of the Website Perceived Value

... from the empirical study show that browsers prefer the site that is efficient, excellent, and present to them an economic value than the one with a good visual appeal and entertaining ... See full document

13

STOCK MARKETS AND THEIR INFORMATIONAL INEFFICIENCIES – THE BSE CASE

STOCK MARKETS AND THEIR INFORMATIONAL INEFFICIENCIES – THE BSE CASE

... One of the most powerful effects manifested on the stock markets is the tendency exhibited by stocks issued by small companies (measured by their market value) to record returns ... See full document

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