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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/195112
Description: We investigate the volatility dynamics of gold markets. While there are a number of recent studies examining volatility and Value-at-Risk (VaR) measures in financial and commodity markets, none of the ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/287092
Description: Flight-to-quality during times of financial crisis is a feature of financial markets. Here, a simple strategic model demonstrates that some preference asymmetry is sufficient to generate endogenous fl ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/208896
Description: This study examines the impact of liberalization of the Sri Lankan stock market on return volatility. We specify GARCH and TGARCH models of volatility, and estimate them using 16 years of weekly retur ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/287141
Description: This paper considers the forecast accuracy of a wide range of volatility models, with particular emphasis on the use of power transformations. Where one-period-ahead forecasts are considered, the powe ... More
Reviewed: Reviewed
Date: 2001
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219402
Description: This paper examines intraday futures market behaviour around major scheduled macroeconomic information announcements on the Sydney Futures Exchange (SFE). Prior literature analysing intraday price beh ... More
Reviewed: Reviewed
Date: 2001
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/219405
Description: Chang et al. [Journal of Business 68 (1) (1995) 61] examine the impact of the closure of the New York Stock Exchange (NYSE) on S&P500 stock index futures traded on the Chicago Mercantile Exchange. The ... More
Reviewed: Reviewed
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