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THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE
(
Qatar University
, 2015 , Article)
This paper investigates the leverage effect on the value premium volatility using
GARCH and TARCH models utilizing a unique dataset, for twenty nine countries. The
findings show that value premium returns are bigger in ...
The Dynamic and Dependence of Takaful and Conventional Stock Return Behaviours: Evidence from the Insurance Industry in Saudi Arabia
(
Springer New York LLC
, 2018 , Article)
This paper investigates the dynamics of volatility in the stock market using competing univariate GARCH specifications. Moreover, it provides a study of the pairwise correlation pattern of stock returns for a wide range ...
Application of garch model to forecast data and volatility of share price of energy (Study on adaro energy Tbk, LQ45)
(
Econjournals
, 2018 , Article)
Most of the times, Economic and Financial data not only become highly volatile but also show heterogeneous variances (heteroscedasticity). The common method of the Box Jenkins cannot be used for data modeling as the method ...
Dataset for petroleum based stock markets and GAUSS codes for SAMEM
(
Elsevier Inc.
, 2017 , Article)
This article includes a unique data set of a balanced daily (Monday, Tuesday and Wednesday) for oil and natural gas volatility and the oil rich economies’ stock markets for Saudi Arabia, Qatar, Kuwait, Abu Dhabi, Dubai, ...
True or spurious long memory in volatility: Further evidence on the energy futures markets
(
Elsevier
, 2014 , Article)
The main goal of this paper is to investigate whether the long memory behavior observed in many volatility energy futures markets series is a spurious behavior or not. For this purpose, we employ a wide variety of advanced ...
Are shocks on the returns and volatility of cryptocurrencies really persistent?
(
Elsevier Ltd
, 2019 , Article)
This letter questions the true nature (true versus spurious) of the Long Range Dependence (LRD) behavior observed in the returns and volatility series of four Cryptocurrencies (CC). Using a robust approach, this letter ...
Market liberalization and volatility of returns in emerging markets: The case of Qatar Exchange (QSC)
(
Emerald Publishing
, 2012 , Article)
Purpose – The purpose of this paper is to examine whether stock market liberalization creates excess stock return volatility in the Qatar Exchange (QSC). Design/methodology/approach – The study utilizes two methods, simple ...