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Asymmetric Momentum Threshold Effect of Copper Futures Returns on Spot Returns Volatility in London Metals Exchange under High Volatility
(Articles)
Yeong Jia Goo
,
Chih Chang Chen
Modern Economy
Vol.11 No.1
,January 13, 2020
DOI:
10.4236/me.2020.111006
220
Downloads
393
Views
Citations
Implementation of the Estimating Functions Approach in Asset Returns Volatility Forecasting Using First Order Asymmetric GARCH Models
(Articles)
Timothy Ndonye Mutunga
,
Ali Salim Islam
,
Luke Akong’o Orawo
Open Journal of Statistics
Vol.5 No.5
,August 19, 2015
DOI:
10.4236/ojs.2015.55047
3,017
Downloads
3,724
Views
Citations
A New Fama-French 5-Factor Model Based on SSAEPD Error and GARCH-Type Volatility
(Articles)
Wentao Zhou
,
Liuling Li
Journal of Mathematical Finance
Vol.6 No.5
,November 16, 2016
DOI:
10.4236/jmf.2016.65050
2,029
Downloads
3,636
Views
Citations
Modeling Stock Market Volatility Using GARCH Models: A Case Study of Nairobi Securities Exchange (NSE)
(Articles)
Arfa Maqsood
,
Suboohi Safdar
,
Rafia Shafi
,
Ntato Jeremiah Lelit
Open Journal of Statistics
Vol.7 No.2
,April 30, 2017
DOI:
10.4236/ojs.2017.72026
1,813
Downloads
3,716
Views
Citations
Analysis of 48 US Industry Portfolios with a New Fama-French 5-Factor Model
(Articles)
Liuling Li
,
Xiao Rao
,
Wentao Zhou
,
Bruce Mizrach
Applied Mathematics
Vol.8 No.11
,November 30, 2017
DOI:
10.4236/am.2017.811122
714
Downloads
2,260
Views
Citations
Modelling Stock Prices with Exponential Weighted Moving Average (EWMA)
(Articles)
Adejumo Wahab Adewuyi
Journal of Mathematical Finance
Vol.6 No.1
,February 26, 2016
DOI:
10.4236/jmf.2016.61011
4,845
Downloads
6,329
Views
Citations
Color Information Encoding Based on Phase-Truncated Gyrator Transform Domain
(Articles)
Muhammad Rafiq Abuturab
,
Tajuddin Ali Ahmad
Int'l J. of Communications, Network and System Sciences
Vol.7 No.4
,April 15, 2014
DOI:
10.4236/ijcns.2014.74013
3,286
Downloads
4,521
Views
Citations
This article belongs to the Special Issue on
Communication Cryptography Technology
Measuring Asymmetric Nature of Beta Using a Smooth Linear Transformation
(Articles)
Subrata Kumar Mitra
Theoretical Economics Letters
Vol.9 No.6
,August 29, 2019
DOI:
10.4236/tel.2019.96128
159
Downloads
353
Views
Citations
Option Pricing Applications of Quadratic Volatility Models
(Articles)
Srimantoorao. S. Appadoo
,
Aerambamoorthy Thavaneswaran
,
Saman Muthukumarana
Journal of Mathematical Finance
Vol.2 No.2
,May 23, 2012
DOI:
10.4236/jmf.2012.22017
4,133
Downloads
8,138
Views
Citations
A Multiplicative Seasonal ARIMA/GARCH Model in EVN Traffic Prediction
(Articles)
Quang Thanh Tran
,
Zhihua Ma
,
Hengchao Li
,
Li Hao
,
Quang Khai Trinh
Int'l J. of Communications, Network and System Sciences
Vol.8 No.4
,April 2, 2015
DOI:
10.4236/ijcns.2015.84005
3,927
Downloads
4,940
Views
Citations
Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns of Middle East Countries
(Articles)
Nagmi M. Moftah Aimer
Open Access Library Journal
Vol.3 No.12
,December 9, 2016
DOI:
10.4236/oalib.1103218
1,219
Downloads
2,131
Views
Citations
A Research on Interbank Loan Interest Rate Fluctuation Characteristics and the VaR Risk of China’s Commercial Banks
(Articles)
Baoqian Wang
,
Cheng Wang
,
Xikun Zhang
Modern Economy
Vol.3 No.6
,October 31, 2012
DOI:
10.4236/me.2012.36097
5,218
Downloads
7,783
Views
Citations
Fitting the Nigeria Stock Market Return Series Using GARCH Models
(Articles)
U. Usman
,
H. M. Auwal
,
M. A. Abdulmuhyi
Theoretical Economics Letters
Vol.7 No.7
,December 14, 2017
DOI:
10.4236/tel.2017.77147
595
Downloads
1,275
Views
Citations
Measuring and Comparing the Value-at-Risk Using GARCH and CARR Models for CSI 300 Index
(Articles)
Chunchou Wu
Theoretical Economics Letters
Vol.8 No.6
,April 23, 2018
DOI:
10.4236/tel.2018.86078
568
Downloads
1,912
Views
Citations
This article belongs to the Special Issue on
Computational Economics and Econometrics
Application of Copula-GARCH to Estimate VaR of a Portfolio with Credit Default Swaps
(Articles)
Jhe-Jheng Huang
,
Leh-Chyan So
Journal of Mathematical Finance
Vol.8 No.2
,May 17, 2018
DOI:
10.4236/jmf.2018.82025
537
Downloads
1,080
Views
Citations
Growth and Volatility: An Analysis for the Brazilian Economy
(Articles)
Elano Ferreira Arruda
,
Felipe de Sousa Bastos
,
Pablo Urano de Carvalho Castelar
,
Fernando Marques Mansilla
,
Antônio Clécio de Brito
Theoretical Economics Letters
Vol.9 No.7
,October 24, 2019
DOI:
10.4236/tel.2019.97165
278
Downloads
490
Views
Citations
Exploring the Priced Factors in ICAPM in Japan
(Articles)
Chikashi TSUJI
Modern Economy
Vol.2 No.4
,September 21, 2011
DOI:
10.4236/me.2011.24078
4,810
Downloads
8,632
Views
Citations
Hermitian Symmetry on a Hilbert Space—Its Applications to Some Asymmetric Phenomena
(Articles)
Naohito Chino
Natural Science
Vol.12 No.5
,April 29, 2020
DOI:
10.4236/ns.2020.125020
148
Downloads
256
Views
Citations
A Computer Program for Dynamic Load Simulation of Spur Gears with Asymmetric and Symmetric Teeth
(Articles)
Fatih Karpat
,
Stephen Ekwaro-Osire
,
Esin Karpat
World Journal of Mechanics
Vol.2 No.5
,October 31, 2012
DOI:
10.4236/wjm.2012.25029
5,793
Downloads
10,142
Views
Citations
Real Estate Pricing under Two-Sided Asymmetric Information
(Articles)
Jeremy Sandford
,
Paul Shea
Theoretical Economics Letters
Vol.3 No.4
,July 17, 2013
DOI:
10.4236/tel.2013.34037
4,014
Downloads
5,982
Views
Citations
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