Add to ORKGThis paper examines the statistical behavior of daily stock returns in several Pacific-Basin stock exchanges, which have grown tremendously in recent years. Empirical evidence reveals that return-generating models which empirically fit the data are processes with conditional heteroscedastic innovations. Particularly, the generalized autoregressive conditional heteroscedastic GARCH(1,1) process turns out to be the best in most cases
This research aims to examine whether the shocks from common idiosyncratic volatility (CIV) are pric...
The study examines the return and volatility spillover among Asian stock markets in Indi...
This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn s...
peer reviewedThis paper examines the statistical behavior of daily stock returns in several Pacific-...
This paper aims to model volatility of daily index returns for four Asian markets namely; Kuala Lump...
This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the dai...
This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to t...
In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditiona...
This paper studies the dynamics of stock market return volatility of India and Japan. The TGARCH-M m...
Purpose - The purpose of this paper is to indicate the existence of certain time series characterist...
This thesis investigates emerging stock markets in the Pacific Basin with particular reference to th...
This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, ...
This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines,...
The most important characteristic of a stock or bond is its return or profit. This return is volatil...
Abstract: Despite the criticisms on the validity of the CAPM, finance researchers continue to adopt ...
This research aims to examine whether the shocks from common idiosyncratic volatility (CIV) are pric...
The study examines the return and volatility spillover among Asian stock markets in Indi...
This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn s...
peer reviewedThis paper examines the statistical behavior of daily stock returns in several Pacific-...
This paper aims to model volatility of daily index returns for four Asian markets namely; Kuala Lump...
This paper fits Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH) models to the dai...
This paper applies the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to t...
In this paper we aim to test the usefulness of two variants of Generalized Autoregressive Conditiona...
This paper studies the dynamics of stock market return volatility of India and Japan. The TGARCH-M m...
Purpose - The purpose of this paper is to indicate the existence of certain time series characterist...
This thesis investigates emerging stock markets in the Pacific Basin with particular reference to th...
This paper describes the return patterns of six ASEAN markets(Indonesia, Malaysia, the Philippines, ...
This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines,...
The most important characteristic of a stock or bond is its return or profit. This return is volatil...
Abstract: Despite the criticisms on the validity of the CAPM, finance researchers continue to adopt ...
This research aims to examine whether the shocks from common idiosyncratic volatility (CIV) are pric...
The study examines the return and volatility spillover among Asian stock markets in Indi...
This paper confirms presence of GARCH(1,1) effect on stock return time series of Vietnam’s newborn s...