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garches » marches, arches, garces
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61
by Shin, Yongseok
Published 2003
International Monetary Fund
“.... Next, using a panel GARCH specification, we show that spreads move more than normal in the days...”
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62
by Grigorian, David
Published 2019
International Monetary Fund
“... drivers of debt capital flows to Malaysia. Finally, it uses a GARCH model to test the hypothesis...”
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63
by Fomby, Thomas B.
Published 2003
Elsevier/JAI
“... vector and error variance-covariance matrix. Other topics include GMM, HAC, Heckit, asymmetric GARCH...”
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64
by Kalra, Sanjay
Published 2008
International Monetary Fund
“... GARCH models suggest that a 5 percentage point increase in mature market equity volatility generated...”
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65
by Roache, Shaun
Published 2010
International Monetary Fund
“...- GARCH approach. It finds that low frequency volatility is positively correlated across different...”
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66
by Hol, Eugenie M.J.H.
Published 2003
Springer US
“... is compared not only to that of the well-established GARCH model but also to implied volatility and so-called...”
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67
by Servén, Luis
Published 2002
The World Bank
“... in developing countries using a large cross country-time series data set. He builds a GARCH-based measure...”
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68
by Ananchotikul, Nasha
Published 2014
International Monetary Fund
“... volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework...”
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69
Published 2006
OECD Publishing
“... and inflation expectations based on M-GARCH modelling. The results of the empirical analysis show that: i...”
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70
by Zhang, Xiaojing
Published 2009
International Monetary Fund
“... and multivariate GARCH models, this paper finds that China's stock market is not immune to the financial crisis...”
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71
by Maziad, Samar
Published 2012
International Monetary Fund
“... (CNY) and offshore (CNH) RMB markets. We employed a bivariate GARCH model to understand the inter...”
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72
by Fomby, Thomas B.
Published 2006
Emerald
“... of different time scales in GARCH modelling, out-of-sample evaluation of the Fed Model in stock price valuation...”
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73
by Bauwens, Luc, Giot, Pierre
Published 2001
Springer US
“... more difficult to estimate than usual GARCH models, stochastic volatility models have found numerous...”
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74
by Diebold, Francis X.
Published 2012
Edward Elgar Pub. Ltd