Asimetrik volatilite kavramı, aynı boyuttaki negatif fiyat değişimlerinin pozitif değişimlerine göre koşullu varyans üzerinde daha etkin olması olarak tanımlanabilir. Bu durum finansal piyasaların yapısal bir özelliği kabul edilmektedir. Diğer taraftan kriz ve belirsizlik dönemlerinde asimetrik etkisinin belirginleştiği yönünde bulgular da vardır. çalışmada Covid-19 kaynaklı krizin uluslararası...

Abstract While prior studies have examined the predictive effect of macroeconomic and country risk components on property stock index dynamics, limited explanations exist in literature regarding time-varying investor sentiment housing prices. Accordingly, this study assesses impact properties’ returns conditional volatility price indices under different market conditions, using GARCH, GJR-GARCH...

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics and randomness Pakistan Stock Exchange (PSX-100) obtain insights into behavior investors during before coronavirus disease (COVID-19 pandemic). paper aims to present estimations quantification PSX-100. methodology includes two approaches: (i) implementation EGARCH, GJR-GARCH, TGARCH mode...

Abstract We investigate the effect of estimation error on backtests expected shortfall (ES) forecasts. These are based first-order conditions a recently introduced family jointly consistent loss functions for value-at-risk (VaR) and ES. For both single multiperiod horizons, we provide explicit expressions additional terms in asymptotic covariance matrix that result from error, propose robust te...

This paper analyses the stock market linkages of the selected Central and Eastern European (CEE) markets (Czech Republic – PX, Hungary – BUX and Poland – WIG20) with the Western European stock market represented by the German DAX and studies also the comovement between the individual CEE countries’ stock markets. The dynamic conditional correlation (DCC) models were used to model the co-movemen...

We propose a new class of financial volatility models, which we call the REcurrent Conditional Heteroskedastic (RECH) to improve both in-sample analysis and out-of-sample forecast performance traditional conditional heteroskedastic models. In particular, incorporate auxiliary deterministic processes, governed by recurrent neural networks, into variance e.g. GARCH-type flexibly capture dynamics ...

This paper studies the presence of day-of-the-week (DOW) effect in financial contagion process observed on individual economic sectors from Post-Communist East European markets. The only markets that provide national-specific sector indices determined throughout 2008 crisis are Poland, Romania and Russia. novel methodology combines two existing perspectives literature, by employing a GJR-GARCH ...