Search Results - "GARCH model"

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  1. 1
    Forecasting the Impact of the Soon to be Traded Stock Index Futures on the Chinese Stock Market: Empirical Evidence from Japan and Taiwan

    Forecasting the Impact of the Soon to be Traded Stock Index Futures on the Chinese Stock Market: Empirical Evidence from Japan and Taiwan by Wang, Xuewen

    Published 2007
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  2. 2
    Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study?

    Can Chinese security companies use Value at Risk (VaR) to measure market risk they faced: an empirical study? by Tan, Xiao

    Published 2006
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  3. 3
    Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility

    Generalised Autoregressive Conditional Heteroscedasticity (Garch) Models For Stock Market Volatility by Choo, Wei Chong

    Published 1998
    Subjects: “…GARCH model - Evaluation…”
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  4. 4
    Return and volatility spillover effects: Evaluating the impact of Shanghai and Shenzhen-Hongkong Stock Connect Programs on A-H-US stock markets ---An empirical analysis based on VAR-GARCH model

    Return and volatility spillover effects: Evaluating the impact of Shanghai and Shenzhen-Hongkong Stock Connect Programs on A-H-US stock markets ---An empirical analysis based on VA... by JI, BAIHAO

    Published 2019
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  5. 5
    Research on Systemic Risks’ Spillover Effects of China’s Commercial Banks under COVID-19

    Research on Systemic Risks’ Spillover Effects of China’s Commercial Banks under COVID-19 by Ma, Lei

    Published 2020
    Subjects: “…listed commercial banks; systemic risk; GARCH model; CoVaR…”
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  6. 6
    Modeling volatility in foreign currency option pricing

    Modeling volatility in foreign currency option pricing by Hoque, Mohammed, Chan, Felix, Manzur, Meher

    Published 2008
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  7. 7
    Stock Market Performance and Exchange Rate: Evidence from China

    Stock Market Performance and Exchange Rate: Evidence from China by Kang, Rui-yang

    Published 2020
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  8. 8
    An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model

    An Empirical Analysis of the Contagion Risk in the Stock Markets: Evidence with E-GARCH VaR Model by Gao, Song

    Published 2014
    Subjects: “…Contagion Risk; E-GARCH Modelling; Value-at-Risk (VaR); Backtesting; Granger Causality in Risk…”
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  9. 9
    The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis

    The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis by Müller, G., Durand, Robert, Maller, R.

    Published 2011
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