- 1. Analysis and Modeling of NYSE Arca Oil & Gas Stock Index Returns
- (HEJ, Volume 5, Issue 4-2017)
- ... we tested several ARIMA, ARCH and GARCH models. Based on the AIC criterion, we selected the ARMA (2,1) - GARCH (1,1) model, which we predicted for the next 10 periods, the series of returns and the conditional ...
- Created on 30 December 2017
- 2. The Impact of Macroeconomic Changes to the European Currency Market
- (HEJ, Volume 3, Issue 1-2015)
- ... for a set of currency pairs that include the Euro at the moment of these announcements. A measure of the speed with which new information is included in prices is provided by means of a simple GARCH model ...
- Created on 01 April 2015
- 3. Modeling Risk Convevergence for European Financial Markets
- (HEJ, Volume 2, Issue 3-2014)
- ... of models belonging to the GARCH class and on their estimates we build an aggregate index in a Value-at-Risk approach. We use this index as a base for our convergence analysis. The results indicate a positive ...
- Created on 05 October 2014
- 4. The month-of-the-year effect on Bucharest Stock Exchange
- (HEJ, Volume 1, Issue 1-2013)
- ... of month-of-the-year effect on Bucharest Stock Exchange using a both a linear regression and a GARCH-M model with dummy variables for both the mean and the variance equation. We have collected monthly ...
- Created on 02 April 2013
