Nothing Special   »   [go: up one dir, main page]
create a website
Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. (2017). Iorember, Paul ; Usar, Terzungwe ; Sokpo, Joseph.
In: MPRA Paper.
RePEc:pra:mprapa:85656.

Full description at Econpapers || Download paper

Cited: 7

Citations received by this document

Cites: 49

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Inflation and Stock Market Returns in Zimbabwe: Comparison Among the GARCH, EGARCH and TGARCH Models. (2022). Runganga, Raynold ; Mtero, Charles Tapedza.
    In: MPRA Paper.
    RePEc:pra:mprapa:112408.

    Full description at Econpapers || Download paper

  2. Symmetric and asymmetric nexus between economic freedom and stock market development in Pakistan. (2022). Islam, Kashif ; Haider, Syed Anees ; Bilal, Ahmad Raza.
    In: Economic Change and Restructuring.
    RePEc:kap:ecopln:v:55:y:2022:i:4:d:10.1007_s10644-022-09385-5.

    Full description at Econpapers || Download paper

  3. Stock Market Volatility in Zimbabwe Stock Exchange during Pandemic Period. (2022). Choga, Ireen ; Siyakiya, Puruweti ; Chimwai, Ledwin ; Bonga, Wellington Garikai.
    In: Eurasian Journal of Economics and Finance.
    RePEc:ejn:ejefjr:v:10:y:2022:i:2:p:68-82.

    Full description at Econpapers || Download paper

  4. What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman.
    In: MPRA Paper.
    RePEc:pra:mprapa:110382.

    Full description at Econpapers || Download paper

  5. Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange. (2019). Bonga, Wellington Garikai.
    In: MPRA Paper.
    RePEc:pra:mprapa:94201.

    Full description at Econpapers || Download paper

  6. ANALYSING Inflation in Nigeria: A Fractionally Integrated ARFIMA-GARCH Modelling Approach. (2018). Iorember, Paul ; Ibrahim, Kabiru ; Usar, Terzungwe.
    In: MPRA Paper.
    RePEc:pra:mprapa:85655.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adusei, M. (2014). “The inflation-stock market nexus: Evidence from Ghana stock exchange”. Journal of economics and international finance. 6(2), 38-46.
    Paper not yet in RePEc: Add citation now
  2. Ahmed, U &Igbinovia, L. E(2015) “inflation rate and stock returns: Evidence from the Nigerian stock market” International Journal of Business and Social Sciences. 6(11).
    Paper not yet in RePEc: Add citation now

  3. Al-Khazali, O. M. (2003). “Stock Prices, Inflation, and Output: Evidence from the Emerging Markets” Journal of Emerging Market Finance 2(3):287-314.

  4. Asteriou, D., & Hall, S.G (2007) Applied econometrics: A modern approach. Palgrave McMillian.
    Paper not yet in RePEc: Add citation now

  5. Awartani, B. M. A., &Corradi, V. (2005). “Predicting the volatility of the S&P-500 stock index via GARCH Models: The role of asymmetries”. International Journal of Forecasting. 21, 167-183.

  6. Bodie, Z., (1976). “Common stocks as a hedge against inflation”. Journal of Finance, 31, 459-470.

  7. Bollerslev, T. (1986). “Generalized Autoregressive conditional heteroscedasticity”. Journal of Econometrics 31: 307-327.

  8. Boyd, J. H., Levine, R., & Smith, B. D., (2001). “The Impact of Inflation on Financial Sector Performance”. Journal of Monetary EconomicsVol. 47 pp. 221-248

  9. Dasgupta, R. (2012). “Long-run and Short-run Relationships Between BSE Sensex and Macroeconomic Variables”. International Research Journalof Finance and Economics. Vol. 95 pp.135-150.
    Paper not yet in RePEc: Add citation now
  10. Dimitris, I. Costas, K. & Andreas L. (2005). “The relationship between stock market returns and inflation: An econometric investigation using Greek data”. Conference proceedings 2005.
    Paper not yet in RePEc: Add citation now
  11. Donald, A. O., Rose, W.N.,& Nelson, H. W. W. (2017). “The global financial crises, inflation rate and stock market returns in Kenya”. European Scientific Journal Vol. 13(19).
    Paper not yet in RePEc: Add citation now
  12. Emeka, N.,&Aham, K. V. (2016). “Exchange Rate and Inflation and Stock Price Volatility: Evidence from Nigeria, 1986-2012” Journal of Applied Finance & Banking, vol. 6, (6), 57-70.
    Paper not yet in RePEc: Add citation now

  13. Engle, R. F. (1982). “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation,” Econometrica. Vol.50(4), pp. 987-1007.

  14. Engles, R. (2001) “GARCH 101: The use of ARCH/GARCH models in applied econometrics” Journal of economic perspectives. Vol.15(4). pp.157-168.

  15. Fama, E.F. &Schwert, G.W., (1977). Asset returns and inflation, Journal of Financial Economics, Vol.5, pp.115-146.

  16. Fama, E.F., (1981).“Stock returns, real activity, inflation and money” American Economic Review Vol.71 (4), pp.545-565.

  17. Fisher, I. (1930). The Theory of Interest Rate, New York: McMillan.
    Paper not yet in RePEc: Add citation now
  18. Franses, P. H., & Dick V. (1996). “Forecasting Stock Market Volatility Using (Non-Linear) GARCH Models,” Journal of. Forecasting. Vol.15(3), pp. 229-35.
    Paper not yet in RePEc: Add citation now
  19. Franses, P. H., & Dick V.(2000). Non-Linear Time Series Models in Empirical Finance. Cambridge University Press.
    Paper not yet in RePEc: Add citation now

  20. Glosten, L. R., Jagannathan, R., & Runkle, D. E., (1993). “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,” Journal of. Finance Vol. 48, pp. 1779-801.

  21. Gokcan, S. (2000). “Forecasting volatility of emerging stock markets: Linear versus non-linear GARCH models”. Journal of Forecasting, Vol.19, pp.499-504.
    Paper not yet in RePEc: Add citation now
  22. Gujarati, D. N., (2003) Basic Econometrics. 4th edition.
    Paper not yet in RePEc: Add citation now

  23. Hondroiannis, G., &Papapetrou, E. (2006). “Stock returns and inflation in Greece”. Review of Financila Economics, pp.76-94.

  24. Ibrahim, T. M., &Agbaje, O. M. (2013). “The Relationship between Stock Return and Inflation in Nigeria”. European Scientific Journal, 146-157.
    Paper not yet in RePEc: Add citation now
  25. Ioannides, D., Katrakilidis, C., & Lake, A. (2004). The relationship between Stock market returns and Inflation evidence using Greek data. Under Publication.
    Paper not yet in RePEc: Add citation now
  26. Kumuduni, H.R.K., & Jameel, A.L.M., (2016). “Relationship between inflation and stock market returns: special reference to the Colombo stock exchange” 5thAnnual International Research Conference.
    Paper not yet in RePEc: Add citation now
  27. Ladokhin, S. (2009). “Volatility modelling in financial markets” A Master Thesis, VU University Amsterdam.
    Paper not yet in RePEc: Add citation now
  28. Lawal, E.O. (2016). “Inflation and stock market returns in Nigeria: An empirical analysis”. Journal of Research in humanities and social sciences.Vol.4(11).
    Paper not yet in RePEc: Add citation now
  29. Mankiw, N.G (2010) Macroeconomics. 7th Ed. Worth Publishers, New York.
    Paper not yet in RePEc: Add citation now
  30. Mbuluwa, S. (2015). “The impact of inflation on stock market performance in Zimbabwe between 1980 and 2008: An empirical investigation” European Journal of business, economics and accountancy. Vol.3(4).
    Paper not yet in RePEc: Add citation now

  31. Mireku K, Sarkodie K,&Poku K. (2013). “Effect of Macroeconomic Factors on Stock Prices in Ghana: A Vector Error Correction Model Approach”. Int. Acad. Res. Account. Finan. Manag. Sci. 3(2): 32-43.

  32. Miron, D., & Tudor, C. (2010). “Asymmetric conditional volatility models: Empirical estimation and comparison of forecasting accuracy”. Romanian Journal of EconomicForecasting, 3, 74-92.

  33. Modigliani, F. & Cohn, R. A. (1979) “Inflation, Rational Valuation, and the Market”. Financial Analysts Journal, 35: 24-44.
    Paper not yet in RePEc: Add citation now

  34. Nelson C. R. (1976). Inflation and rates of return on common stocks. Journal of Finance, 31: 471-483.

  35. Nelson, D. B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach,” Econometrica 59:2, pp. 347-70.

  36. Pindyck, R. S. (1984). “Risk, inflation and the stock market”. American Economic Review (74): 335-351.

  37. Poon, S. H., & Granger, C. W. J. (2003). “Forecasting volatility in financial markets: A review” Journal of Economic Literature Vol.XLI pp.478-593.

  38. Rapach, D.E. (2002). The long-run relationship between inflation and real stock prices. Journal of Macroeconomics. 24? 311-351.

  39. Reilly, F.K. & Brown, K.C., (2003). Investment analysis: portfolio management (Seventh edition) Thomas South Western, Ohio, USA.
    Paper not yet in RePEc: Add citation now
  40. Ross, S. A., Westerfiled R. W. & Jaffe Jeffrey (2005). Corporate Finance, 7th Ed., New York: McGraw-Hill.
    Paper not yet in RePEc: Add citation now
  41. Samih, A.A. (2010). “Inflation and stocks returns” International Journal of accounting and finance. Vol.2 (3&4).
    Paper not yet in RePEc: Add citation now
  42. Samih, A.A. (2014). “Inflation and stocks returns II” International Journal of Economics and Finance: Vol.6(1).
    Paper not yet in RePEc: Add citation now

  43. Sharpe, S. A. (2002). “Reexamining stock valuation and inflation: The implications of analysts’ earnings forecasts”. The Review of Economics and Statistics, 84, 632-648.

  44. Silva, N.L.C. (2016) “Effect of inflation on stock prices: Evidence from Sri-Lanka” International Journal of Scientific and Engineering Research Vol. 7(4)
    Paper not yet in RePEc: Add citation now
  45. Su, C. (2010). “Application of EGARCH model to estimate financial volatility of daily returns: The empirical case of China”. University of Gothenburg, Master Degree Project No. 2010:142.
    Paper not yet in RePEc: Add citation now
  46. Taylor, S. J. (1986). Modelling Financial Time Series. Wiley.
    Paper not yet in RePEc: Add citation now
  47. Tripathi, V., & Kumar, A. (2014). “Relationship between Inflation and Stock Returns evidence from BRICS markets”. International Journal of Accounting and finance reporting, pp.647-658.
    Paper not yet in RePEc: Add citation now

  48. Wongbampo P, Sharma SC. (2002). “Stock Market and Macroeconomic Fundamental Dynamic Interactions: ASEAN-5 Countries”. J. Asian Econ. 13:27-51.

  49. Yeh, C.C & C.F. Chi (2009). “The Co-Movement and Long-Run Relationship between Inflation and Stock Returns: Evidence from 12 OECD Countries”. Journal of Economics and Management. 5(2): 167-186.

Cocites

Documents in RePEc which have cited the same bibliography

  1. High-dimensional sparse financial networks through a regularised regression model. (2019). Costola, Michele ; Bernardi, Mauro.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:244.

    Full description at Econpapers || Download paper

  2. Quantitative easing announcements and high-frequency stock market volatility: Evidence from the United States. (2019). Larkin, Charles ; Dunne, John James ; Corbet, Shaen.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:48:y:2019:i:c:p:321-334.

    Full description at Econpapers || Download paper

  3. The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

    Full description at Econpapers || Download paper

  4. Leverage Effect and Switching of Market Efficiency Post Goods and Services Tax (GST) Imposition. (2018). Lee, Yok-Yong ; Aslam, S ; Bany-Ariffin, A M ; Yahya, M H.
    In: International Business Research.
    RePEc:ibn:ibrjnl:v:11:y:2018:i:3:p:162-178.

    Full description at Econpapers || Download paper

  5. Forecasting and risk management in the Vietnam Stock Exchange. (2018). Darné, Olivier ; Ha, Manh.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-01679456.

    Full description at Econpapers || Download paper

  6. Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models. (2018). Xiao, Bing ; Dury, Marie-Eliette.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01709321.

    Full description at Econpapers || Download paper

  7. Is stock market volatility asymmetric? A multi-period analysis for five countries. (2018). Bentes, Sonia R.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:499:y:2018:i:c:p:258-265.

    Full description at Econpapers || Download paper

  8. Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

    Full description at Econpapers || Download paper

  9. Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching.
    In: Energy Economics.
    RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

    Full description at Econpapers || Download paper

  10. Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

    Full description at Econpapers || Download paper

  11. Asymmetric volatility transmission between the real exchange rate and stock returns in South Africa. (2018). Sikhosana, Ayanda ; Aye, Goodness C.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:60:y:2018:i:c:p:1-8.

    Full description at Econpapers || Download paper

  12. Modeling Sectoral Stock Indexes Volatility: Empirical Evidence from Pakistan Stock Exchange. (2018). Chimrani, Charan Raj ; Panjwani, Vinesh Kumar ; Ahmed, Farhan.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2018-02-38.

    Full description at Econpapers || Download paper

  13. The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments. (2017). Ellersgaard, Simon ; Poulsen, Rolf ; Jonsson, Martin.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:4:p:515-529.

    Full description at Econpapers || Download paper

  14. Inflation and Stock Market Returns Volatility: Evidence from the Nigerian Stock Exchange 1995Q1-2016Q4: An E-GARCH Approach. (2017). Iorember, Paul ; Usar, Terzungwe ; Sokpo, Joseph.
    In: MPRA Paper.
    RePEc:pra:mprapa:85656.

    Full description at Econpapers || Download paper

  15. Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility. (2017). Lindblad, Annika .
    In: MPRA Paper.
    RePEc:pra:mprapa:80266.

    Full description at Econpapers || Download paper

  16. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:14022r.

    Full description at Econpapers || Download paper

  17. Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00973922.

    Full description at Econpapers || Download paper

  18. Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

    Full description at Econpapers || Download paper

  19. A Study on the Volatility of the Bangladesh Stock Market — Based on GARCH Type Models. (2017). Bhowmik, Roni ; Kumar, Jewel Roy ; Shouyang, Wang ; Chao, WU.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:5:y:2017:i:3:p:193-215:n:1.

    Full description at Econpapers || Download paper

  20. Semiparametric Efficient Adaptive Estimation of the PTTGARCH model. (2016). Ciccarelli, Nicola.
    In: MPRA Paper.
    RePEc:pra:mprapa:72021.

    Full description at Econpapers || Download paper

  21. Forecasting stock market volatility using Realized GARCH model: International evidence. (2016). Sharma, Prateek ; Vipul, .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:59:y:2016:i:c:p:222-230.

    Full description at Econpapers || Download paper

  22. Forecasting Stock Return Volatility: Evidence from the West African Regional Stock Market. (2015). Leon, Ndri Konan .
    In: Journal of Applied Finance & Banking.
    RePEc:spt:apfiba:v:5:y:2015:i:6:f:5_6_2.

    Full description at Econpapers || Download paper

  23. Forecasting stock index volatility with GARCH models: international evidence. (2015). Sharma, Prateek ; Vipul, .
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:v:32:y:2015:i:4:p:445-463.

    Full description at Econpapers || Download paper

  24. Option pricing with asymmetric heteroskedastic normal mixture models. (2015). Stentoft, Lars.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:635-650.

    Full description at Econpapers || Download paper

  25. Food–energy nexus in Europe: Price volatility approach. (2015). serra, teresa ; Abdelradi, Fadi.
    In: Energy Economics.
    RePEc:eee:eneeco:v:48:y:2015:i:c:p:157-167.

    Full description at Econpapers || Download paper

  26. On the influence of the U.S. monetary policy on the crude oil price volatility. (2015). Scognamillo, Antonio ; Amendola, Alessandra ; Candila, Vincenzo.
    In: 2015 Fourth Congress, June 11-12, 2015, Ancona, Italy.
    RePEc:ags:aiea15:207860.

    Full description at Econpapers || Download paper

  27. A Study on the Performance of Symmetric and Asymmetric GARCH Models in Estimating Stock Returns Volatility. (2014). Islam, Mohd Aminul .
    In: International Journal of Empirical Finance.
    RePEc:rss:jnljef:v2i4p4.

    Full description at Econpapers || Download paper

  28. Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:14022.

    Full description at Econpapers || Download paper

  29. Portfolio insurance: Gap risk under conditional multiples. (2014). Prigent, Jean-Luc ; ben ameur, hachmi.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:236:y:2014:i:1:p:238-253.

    Full description at Econpapers || Download paper

  30. Estimation of flexible fuzzy GARCH models for conditional density estimation. (2013). Kaymak, Uzay ; Baştürk, Nalan ; Almeida, Rui Jorge ; Costa Sousa, J. M., ; Basturk, N..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:40785.

    Full description at Econpapers || Download paper

  31. Forecasting VaR using analytic higher moments for GARCH processes. (2013). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:30:y:2013:i:c:p:36-45.

    Full description at Econpapers || Download paper

  32. On forecasting stock options volatility: evidence from London international financial futures and options exchange. (2012). Asandului, Mircea.
    In: Anale. Seria Stiinte Economice. Timisoara.
    RePEc:tdt:annals:v:xviii:y:2012:p:505-511.

    Full description at Econpapers || Download paper

  33. Ranking the predictive performances of value-at-risk estimation methods. (2012). ener, Emrah ; Baronyan, Sayad ; Menguturk, Levent Ali .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:4:p:849-873.

    Full description at Econpapers || Download paper

  34. Comparative Performance of Volatility Models for Oil Price. (2012). Salisu, Afees ; fasanya, Ismail.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2012-03-9.

    Full description at Econpapers || Download paper

  35. Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions. (2012). Perote, Javier ; Iguez, Trino-Manuel .
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:74:y:2012:i:4:p:600-627.

    Full description at Econpapers || Download paper

  36. A MULTI-HORIZON COMPARISON OF VOLATILITY FORECASTS: AN APPLICATION TO STOCK OPTIONS TRADED AT EURONEXT EXCHANGE AMSTERDAM. (2012). Asandului, Mircea.
    In: Review of Economic and Business Studies.
    RePEc:aic:revebs:y:2012:i:10:asanduluim.

    Full description at Econpapers || Download paper

  37. Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model. (2011). Ullah, Aman ; Su, Liangjun ; Amanullah, ; Long, Xiangdong .
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:29:y:2011:i:1:p:109-125.

    Full description at Econpapers || Download paper

  38. Stock market momentum, business conditions, and GARCH option pricing models. (2011). Huang, Hsin-Yi ; Chiang, Min-Hsien .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:488-505.

    Full description at Econpapers || Download paper

  39. Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach. (2011). serra, teresa.
    In: 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland.
    RePEc:ags:eaae11:115997.

    Full description at Econpapers || Download paper

  40. Forecasting volatility with support vector machine-based GARCH model. (2010). Härdle, Wolfgang ; Jeong, Kiho ; Hardle, Wolfgang K. ; Chen, Shiyi.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:4:p:406-433.

    Full description at Econpapers || Download paper

  41. Skew-Normal Mixture and Markov-Switching GARCH Processes. (2010). Haas, Markus.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:14:y:2010:i:4:n:1.

    Full description at Econpapers || Download paper

  42. Non-linear predictability in stock and bond returns: when and where is it exploitable?. (2009). Hyde, Stuart ; Guidolin, Massimo ; McMillan, David ; Ono, Sadayuki .
    In: Working Papers.
    RePEc:fip:fedlwp:2008-010.

    Full description at Econpapers || Download paper

  43. Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models. (2009). Agnolucci, Paolo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:2:p:316-321.

    Full description at Econpapers || Download paper

  44. The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500. (2009). Hung, Jui-Cheng ; Ni, Ren-Xi ; Chang, Matthew C..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00548.

    Full description at Econpapers || Download paper

  45. GARCH models with leverage effect : differences and similarities. (2009). Ruiz, Esther ; Rodriguez, Maria Jose .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws090302.

    Full description at Econpapers || Download paper

  46. Forecasting S&P 500 Daily Volatility using a Proxy for Downward Price Pressure. (2008). Visser, Marcel.
    In: MPRA Paper.
    RePEc:pra:mprapa:11100.

    Full description at Econpapers || Download paper

  47. Structural breaks and GARCH models of exchange rate volatility. (2008). Strauss, Jack ; Rapach, David E..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:1:p:65-90.

    Full description at Econpapers || Download paper

  48. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Working Papers.
    RePEc:awi:wpaper:0472.

    Full description at Econpapers || Download paper

  49. 25 years of time series forecasting. (2006). Hyndman, Rob ; Gooijer, Jan G..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:3:p:443-473.

    Full description at Econpapers || Download paper

  50. 25 Years of IIF Time Series Forecasting: A Selective Review. (2005). Hyndman, Rob ; De Gooijer, Jan G..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050068.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-26 12:48:04 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.