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ISSN
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Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models
(Articles)
Manamba Epaphra
Journal of Mathematical Finance
Vol.7 No.1
,February 6, 2017
DOI:
10.4236/jmf.2017.71007
4,375
Downloads
12,528
Views
Citations
Stock Exchanges Comparison between Mainland China and H.K. Based on the SVL Model
(Articles)
Jiahui Lin
Open Journal of Statistics
Vol.7 No.3
,May 11, 2017
DOI:
10.4236/ojs.2017.73027
1,684
Downloads
4,173
Views
Citations
Accounting and Stock Market Performance in the US: Evidence from Joiners and Leavers
(Articles)
Christos Floros
,
Efthalia Tabouratzi
,
Dimitris Charamis
,
Stella Zounta
Theoretical Economics Letters
Vol.7 No.4
,May 17, 2017
DOI:
10.4236/tel.2017.74050
1,654
Downloads
3,506
Views
Citations
An Empirical Evaluation in GARCH Volatility Modeling: Evidence from the Stockholm Stock Exchange
(Articles)
Chaido Dritsaki
Journal of Mathematical Finance
Vol.7 No.2
,May 19, 2017
DOI:
10.4236/jmf.2017.72020
3,290
Downloads
7,349
Views
Citations
Dynamic Conditional Correlation between Electricity, Energy (Commodity) and Financial Markets during the Financial Crisis in Greece
(Articles)
Panagiotis G. Papaioannou
,
George P. Papaioannou
,
Akylas Stratigakos
,
Christos Dikaiakos
Journal of Mathematical Finance
Vol.7 No.4
,November 29, 2017
DOI:
10.4236/jmf.2017.74055
1,171
Downloads
2,641
Views
Citations
Evaluating Volatility Forecasts with Ultra-High-Frequency Data—Evidence from the Australian Equity Market
(Articles)
Kai Zhang
,
Lurion De Mello
,
Mehdi Sadeghi
Theoretical Economics Letters
Vol.8 No.1
,January 4, 2018
DOI:
10.4236/tel.2018.81001
1,227
Downloads
2,936
Views
Citations
This article belongs to the Special Issue on
Financial Economics
The Jump Dynamics of the Industry-Specific Nominal Effective Exchange Rate of RMB and the Impact of Major International Currencies on It—An Empirical Study Based on the ARJI Model
(Articles)
Yuqi Wang
Journal of Financial Risk Management
Vol.7 No.1
,March 28, 2018
DOI:
10.4236/jfrm.2018.71005
957
Downloads
1,953
Views
Citations
Consistency of the Model Order Change-Point Estimator for GARCH Models
(Articles)
Irene W. Irungu
,
Peter N. Mwita
,
Antony G. Waititu
Journal of Mathematical Finance
Vol.8 No.2
,April 4, 2018
DOI:
10.4236/jmf.2018.82018
1,047
Downloads
2,033
Views
Citations
Volatility Prediction: A Study with Structural Breaks
(Articles)
Dilip Kumar
Theoretical Economics Letters
Vol.8 No.6
,April 23, 2018
DOI:
10.4236/tel.2018.86080
961
Downloads
1,988
Views
Citations
This article belongs to the Special Issue on
Computational Economics and Econometrics
Which Model Performs Better While Forecasting Stock Market Volatility? Answer for Dhaka Stock Exchange (DSE)
(Articles)
S. M. Abdullah
,
Mohammod Akbar Kabir
,
Kawsar Jahan
,
Salina Siddiqua
Theoretical Economics Letters
Vol.8 No.14
,October 26, 2018
DOI:
10.4236/tel.2018.814199
952
Downloads
2,311
Views
Citations
Variable Selection in Finite Mixture of Time-Varying Regression Models
(Articles)
Jing Liu
,
Wanzhou Ye
Advances in Pure Mathematics
Vol.10 No.3
,March 6, 2020
DOI:
10.4236/apm.2020.103007
532
Downloads
1,145
Views
Citations
Risk Measurement and Performance Evaluation of Equity Funds Based on ARMA-GARCH Family Model
(Articles)
Jingling Yang
,
Guoqiang Tang
,
Duancui Yang
,
Jianwen Zhang
Open Journal of Statistics
Vol.10 No.2
,April 29, 2020
DOI:
10.4236/ojs.2020.102022
522
Downloads
1,144
Views
Citations
Convergence of a Randomised Change Point Estimator in GARCH Models
(Articles)
George Awiakye-Marfo
,
Joseph Mung’atu
,
Patrick Weke
Journal of Mathematical Finance
Vol.11 No.2
,May 12, 2021
DOI:
10.4236/jmf.2021.112013
296
Downloads
762
Views
Citations
The Predictive Performance of Extreme Value Analysis Based-Models in Forecasting the Volatility of Cryptocurrencies
(Articles)
Cyprian Omari
,
Anthony Ngunyi
Journal of Mathematical Finance
Vol.11 No.3
,August 5, 2021
DOI:
10.4236/jmf.2021.113025
259
Downloads
1,219
Views
Citations
ANN-Time Varying GARCH Model for Processes with Fixed and Random Periodicity
(Articles)
Elias K. Karuiru
,
John Mwaniki Kihoro
,
Thomas Mageto
,
Anthony Gichuhi Waititu
Open Journal of Statistics
Vol.11 No.5
,October 8, 2021
DOI:
10.4236/ojs.2021.115040
148
Downloads
756
Views
Citations
Modeling and Forecast of Ghana’s GDP Using ARIMA-GARCH Model
(Articles)
Dwumah Barbara
,
Chenlong Li
,
Yingchuan Jing
,
Aning Samuel
Open Access Library Journal
Vol.9 No.1
,January 29, 2022
DOI:
10.4236/oalib.1108335
274
Downloads
1,733
Views
Citations
Measuring Rice Price Volatility and Its Determinants in Tanzania: An Implication for Price Stabilization Policies
(Articles)
Yohana James Mgale
,
Shauri Timothy
,
Provident Dimoso
Theoretical Economics Letters
Vol.12 No.2
,April 24, 2022
DOI:
10.4236/tel.2022.122031
240
Downloads
1,427
Views
Citations
Using TGARCH-M to Model the Impact of Good News and Bad News on Covid-19 Related Stocks’ Volatilities
(Articles)
Junqi Chen
,
Hui Li
,
Yan Lv
Journal of Financial Risk Management
Vol.11 No.2
,June 30, 2022
DOI:
10.4236/jfrm.2022.112023
264
Downloads
1,507
Views
Citations
ANN-Time Varying GARCH Model: Simulations and Application in Modelling Temperature for Weather Derivatives
(Articles)
Elias K. Karuiru
,
John Mwaniki Kihoro
,
Thomas Mageto
,
Anthony Gichuhi Waititu
Open Journal of Statistics
Vol.12 No.3
,June 30, 2022
DOI:
10.4236/ojs.2022.123027
204
Downloads
744
Views
Citations
Quantification of GARCH (1, 1) Model Misspecification with Three Known Assumed Error Term Distributions
(Articles)
Zonia Chandre Stiglingh
,
Modisane Bennett Seitshiro
Journal of Financial Risk Management
Vol.11 No.3
,August 11, 2022
DOI:
10.4236/jfrm.2022.113026
186
Downloads
1,435
Views
Citations
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