[PDF] Top 20 Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007 2011
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Volatility and causality study of the daily returns on the Bucharest Stock Exchange during 2007 2011
... major stock markets and Bucharest Stock Exchange is not only a mere coincidence, we rand several Granger causality tests between S&P500 New York Stock Exchange index ... See full document
9
MODELLING DHAKA STOCK EXCHANGE RETURNS VOLATILITY
... to volatility in Bangladesh stock market and observe that positive skewness and excess kurtosis reveal the non normality of the DSE return series though they do not mention their considered ...conditional ... See full document
11
Test of the Day of the Week Effect: The Case of Kuwait Stock Exchange
... The study on day-of-the-week effect on returns in the Kuwait stock market has been divided into three groups (Al-Mutairi, ...negative returns on the beginning of the week and positive ... See full document
9
Relationship between stock market volatility and exchange rate: a study of kse
... Dollar exchange rate. They went for causal relationship between Nifty returns and Indian-USD exchange ...rate. Daily closing prices of stock and daily exchange rate have ... See full document
5
Causality Analysis of Volatility in Exchange Rate and Stock Market Prices: A Case Study of Pakistan
... between exchange rate volatility and variability of stock market ...from exchange rate to stock market prices (Abdalla and Murinde (1997) for Pakistan; Erbaykal and Okuyan (2007) ... See full document
11
Impact of the foreign exchange rates fluctuations on returns and volatility of the Bucharest Stock Exchange
... bidirectional volatility spillover between the foreign exchange markets and most of the main sectors of the Indian stock ...unidirectional causality from the exchange rates to the ... See full document
15
Modeling and forecasting Daily stock Returns of Guaranty Trust Bank Nigeria Plc Using ARMA-GARCH Models, Persistence, Half-life Volatility and Backtesting
... Nigerian Stock Exchange President’s Merit award that same year, and subsequently in the years 2000, 2003, 2005, 2006, 2007, 2008 and ...May 2011, The Bank successfully launched a US$500 ... See full document
55
Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011
... the returns estimation, as Strong (1992, ...logarithmic returns. Theoretically, logarithmic returns are analytically more tractable when linking together sub-period returns to form ... See full document
10
The Application of GARCH and EGARCH in Modeling the Volatility of Daily Stock Returns During Massive Shocks: The Empirical Case of Egypt
... no study that has examined the impacts of the revolution on the volatility of the EGX 30, EGX70, EGX 100, and the EGX 20 ...the volatility of the Egyptian Exchange indices before the ... See full document
13
Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange
... A study by Ahmed and Suliman (2011), used GARCH models to estimate volatility (conditional variance) in the daily returns of the principal stock exchange of Sudan ... See full document
13
Implementation of the Estimating Functions Approach in Asset Returns Volatility Forecasting Using First Order Asymmetric GARCH Models
... . First order EGARCH and GJR-GARCH models have been fitted to the Standard and Poor’s 500 and the Nik- kei 225 market indices for the period 2 nd Jan 2008 to 31 st May 2011. The estimated models under the EFs ap- ... See full document
9
Nonlinear Dependence between Stock Prices and Exchange Rate in Nigeria
... between stock prices and exchange rates, namely, the “flow-oriented” (or international trading effect) and the “stock-oriented” (or portfolio balance effect) models of exchange ...that ... See full document
21
Factors Affecting the Stock Underpricing Level in Public Offering in Indonesian Stock Exchange (Study of Companies Conducting IPOs on the Indonesia Stock Exchange Period 2010 2014)
... The higher the reputation of the underwriter, the lower the level of underpricing of IPO company shares. Based on the results of previous studies Junaeni and Agustian (2013) concluded that the underwriter's reputation ... See full document
7
Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
... future returns, such as estimates of Value- at-Risk ...realized volatility in terms of forecasts of ...our study to focus exclusively on models based on realized volatility (or its ... See full document
37
The SAD cycle for the Bucharest Stock Exchange
... The SAD cycle for the Bucharest Stock Exchange Stefanescu, Razvan and Dumitriu, Ramona Dunarea de Jos University of Galati, Dunarea de Jos University of Galati.[r] ... See full document
7
Monthly seasonality in the Bucharest stock exchange
... We use monthly values about the two main components of BSE: BET market and RASDAQ market. Our sample of data is provided by BSE and covers the period January 2000 – March 2011. For both markets we employ the main ... See full document
7
Overreaction and underreaction on the BUCHAREST STOCK EXCHANGE
... in 2007 so the period of analysis was shorter in comparison with the other ...reactions during the global ...sector during the both periods were very ... See full document
7
Modelling a Latent Daily Tourism Financial Conditions Index
... conditional volatility models are considered, namely GARCH, GJR and EGARCH, in an attempt to capture the inherent volatility in the daily tourism stock index ...tourism stock index ... See full document
40
Modelling and forecasting the volatility of the portuguese stock index PSI 20
... The volatility clustering often seen in financial data has increased the interest of researchers in applying good models to measure and forecast stock ...the volatility for daily and weekly ... See full document
26
Turn of the month effect on the Bucharest stock exchange
... RAQ-C returns (Table 2). For BET-C returns it resulted the most suitable TOM time period is between -1 to +2 trading ...mean returns for the trading days from TOM time period. The largest ... See full document
6
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