OSUVA - Selaus asiasanan "GARCH-jump" mukaan

    • Outliers and Time-Varying Jumps in the Cryptocurrency Markets 

      Dutta, Anupam; Bouri, Elie (MDPI, 08.03.2022)
      article
      We examine the presence of outliers and time-varying jumps in the returns of four major cryptocurrencies (Bitcoin, Ethereum, Ripple, Dogecoin, Litecoin), and a broad cryptocurrency index (CCI30). The results indicate that ...
    • The impact of oil price on the emerging stock markets 

      Masud, Md Abdulla Heal (2019)
      Pro gradu - tutkielma 
      This study investigates the relationship between international crude oil indices and emerg-ing stock markets. Utilizing a widen adaptation of the GARCH model, namely GARCH-jump, the study confirms that West Texas Intermediate ...