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Pair trading based on quantile forecasting of smooth transition GARCH models
Chen, Cathy W. S.; Wang, Zona; Songsak Sriboonchitta; … - In: The North American journal of economics and finance : a … 39 (2017), pp. 38-55
Persistent link: https://www.econbiz.de/10011878579
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A Bayesian approach to model changes in volatility in the Mexican stock exchange index
Cabrera, Gustavo; Coronado, Semei; Rojas, Omar; Romero, … - In: Applied economics 50 (2018) 15, pp. 1716-1724
Persistent link: https://www.econbiz.de/10011848848
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The volatility model of the ASEAN stock indexes
Singagerda, Faurani Santi; Septarina, Linda; Sanusi, Anuar - In: Investment management and financial innovations 16 (2019) 1, pp. 226-238
Persistent link: https://www.econbiz.de/10012056146
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Modeling and forecasting Hang Seng index volatility with day-of-week effect, spillover effect based on ARIMA and HAR
Chen, Yanhui; Lai, Kin Keung; Du, Jiangze - In: Eurasian economic review : a journal in applied … 4 (2014) 2, pp. 113-132
Persistent link: https://www.econbiz.de/10010514801
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Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
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Value-at-risk forecasting of Chinese stock index and index future under jumps, permanent component, and asymmetric information
Li, Shaoyu; Wei, Lijia; Huang, Zehua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1072-1091
Persistent link: https://www.econbiz.de/10011563272
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117
Persistent link: https://www.econbiz.de/10012803390
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Stylized facts of high-frequency financial time series data
Shakeel, Moonis; Srivastava, Bhavana - In: Global business review 22 (2021) 2, pp. 550-564
Persistent link: https://www.econbiz.de/10012520248