Practical Issues in the Analysis of Univariate GARCH Models
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- Thijs Benschopa & Brenda LÃ³pez Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2008. "Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan," MPRA Paper 19488, University Library of Munich, Germany.
- repec:eee:riibaf:v:42:y:2017:i:c:p:1228-1243 is not listed on IDEAS
- Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
- Syed Kumail Abbas Naqvi & Bushra Naqvi, 2010. "Asymmetric Behavior of Inflation Uncertainty and Friedman-Ball Hypothesis: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 15(2), pages 1-33, Jul-Dec.
- Massimo PERI & Daniela VANDONE & Lucia BALDI, 2012. "Internet, noise trading and commodity prices," Departmental Working Papers 2012-07, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Rizvi, Syed Kumail Abbas & Naqvi, Bushra, 2009. "Inflation Volatility: An Asian Perspective," MPRA Paper 19489, University Library of Munich, Germany.
- Thakolsri, Supachok & Sethapramote, Yuthana & Jiranyakul, Komain, 2015. "Asymmetric volatility of the Thai stock market: evidence from high-frequency data," MPRA Paper 67181, University Library of Munich, Germany.
- Troug, Haytem Ahmed & Murray, Matt, 2015. "Crisis Determination and Financial Contagion: An Analysis of the Hong Kong and Tokyo Stock Markets using an MSBVAR Approach," MPRA Paper 68706, University Library of Munich, Germany.
- Troug, Haytem Ahmed & Murray, Matt, 2015. "Quantitative Easing in Japan and the UK An Econometric Evaluation of the Impacts of Unconventional Monetary Policy on the Returns of Aggregate Output and Price Levels," MPRA Paper 68707, University Library of Munich, Germany.
- Peri, Massimo & Vandone, Daniela & Baldi, Lucia, 2014. "Internet, noise trading and commodity futures prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 82-89.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-25 (All new papers)
- NEP-ECM-2008-11-25 (Econometrics)
- NEP-ETS-2008-11-25 (Econometric Time Series)
- NEP-FOR-2008-11-25 (Forecasting)
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