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Hatice Erkekoglu,Aweng Peter Majok Garang,Adire Simon Deng
Pág. 268 - 281
Symmetric and asymmetric GARCH models-GARCH (1,1); PARCH(1;1); EGARCH(1,1,); TARCH(1,1) and IGARCH(1,1)- were used to examine stylized facts of daily USD/UGX return series from September 1st, 2005 to August 30th, 2018. Modeling and forecasting were perfo...
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Gang Wang
This paper uses event study analysis to estimate the impact of the United States Federal Reserve Bank?s (Fed) quantitative easing (QE) announcements on the mortgage market during the zero lower bound (ZLB) period. A total of 35 QE announcements are ident...
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Roberto Montenegro
Pág. 125 - 132
There are different methods to measure the volatility regarding clustering in financial series, in which the assumption of the error distribution determines the structure of the log-likelihood function. This paper analyses the flexibility of ARCH models ...
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Mikosch, T. Starica, C.
Pág. 378 - 390
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