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129.444  Articles
1 of 12.945 pages  |  10  records  |  more records»
Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income. This study focused on thedifference of APTM versus CAPM, and it... see more

The purpose of this paper is to model and forecast volatility of returns for corn futures prices using GARCH models. Non-linear models from the GARCH family, specifically TGARCH and EGARCH are employed to assess the role of asymmetries and to analyze the ... see more

This article investigates stock return volatility and contagion among the five African countries (Zimbabwe, South Africa, Egypt, Kenya, and Nigeria) and the United States of America for the period between 1998 and 2015. Engle (2002)’s Dynamic Conditional ... see more

The impulsiveness in investments price is volatility and its meticulous estimation and forecasting is valuable to investors in the risk management of their portfolio. Earlier volatility of an asset was assumed to be constant. However, the pioneering studi... see more

The purposes of this study were to provide an empirical evidence of the influence of macroeconomic variablesand the time varying volatility phenomena on stock price. This research used manufactured firms that list onIndonesian Capital Market on 2009 until... see more

Forecasting stock market returns volatility is a challenging task that has attracted the attention of market practitioners, regulators and academics in recent years. This paper proposes a Fuzzy GJR-GARCH model to forecast the volatility of S&P 500 and Ibo... see more

It is now widespread the use of Value-at-Risk (VaR) as a canonical measure at risk. Most accurate VaR measures make use of some volatility model such as GARCH-type models. However, the pattern of volatility dynamic of a portfolio follows from the (univari... see more

The Subprime crisis spillovered the returns and volatility from the US stock market to the other integrated economies. The present study attempts to analyze the stock market linkages between the US, India and China, especially during the US subprime Crisi... see more

Although, the growth in the cryptocurrency market slowed down after the meteoric rise in late 2017, the market is still enjoying steady capital inflow. This has made the study of market dynamics between the cryptocurrencies and equity market indispensable... see more

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