This study employs an extended version of the Generalised Autoregressive Conditional
Heteroskedasticity in Mean (GARCH-M) model to consider the time-series sensitivity of …

In this paper we apply the generalised auto‐regressive conditional heteroskedasticity
(GARCH) and Kalman Filter approaches to modelling the equity beta risk of a sample of …

This study examines the impact of the FIFA's official announcements on Doha Stock
Exchange (DSE) of Qatar with respect to the 2022 World Cup. Using the abnormal …

The GARCH model is misspecified if applied to returns calculated from discrete prices. We
propose a modification of the above model for handling such cases. We find large …

This paper adds to the literature a study on the time-varying beta risk of the New Zealand
industry portfolios. The previous analyses of three major modelling techniques are extended …

This paper employs extreme downside risk measures to estimate the impact of the global
financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries …

이 연구는 시장리스크, 금리리스크, 환율리스크가 국내은행의 수익률에 어떤 영향을
미치는지를 분석하기 위해 일반자기회귀 조건부 분산모형 (Generalized Autoregressive …

Purpose–This paper aims to review the development of the Channel Islands exchange and
assess the potential diversification benefits arising from the inclusion of this market in …

Results in this paper support evidence of time-varying systematic risk (beta coefficients) for
five sectors, their securities are traded in Kuwait Stock Market. The paper indicates banks …