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Does VIX or volume improve GARCH volatility forecasts?
Kambouroudis, Dimos S.; McMillan, David G. - In: Applied economics 48 (2016) 13/15, pp. 1210-1228
Persistent link: https://www.econbiz.de/10011433080
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The Saturday effect : an interesting anomaly in the Saudi stock market
Abalala, Turki; Sollis, Robert - In: Applied economics 47 (2015) 58/60, pp. 6317-6330
Persistent link: https://www.econbiz.de/10011411945
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The dynamic interrelation between external finance and bank credit
Casalin, Fabrizio; Dia, Enzo - In: Applied economics 48 (2016) 1/3, pp. 243-259
Persistent link: https://www.econbiz.de/10011412699
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Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur; Cheng, Jen-chi; Vijverberg, Chu-ping C. - In: Applied economics 48 (2016) 4/6, pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
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The linkages, persistence, asymmetry in the volatility, the price discovery and efficiency, and the effect of the US subprime mortgage financial crisis on the spot and the futures...
Paul, Muthucattu Thomas; Kimata, James D. - In: Applied economics 48 (2016) 7/9, pp. 669-683
Persistent link: https://www.econbiz.de/10011413991
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Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
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A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios; Ladopoulos, Konstantinos; … - In: Applied economics 50 (2018) 34/35, pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
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Oil price uncertainty and the business cycle : accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
Thiem, Christopher - In: Applied economics 50 (2018) 34/35, pp. 3735-3751
Persistent link: https://www.econbiz.de/10012059407
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Uncertainty assessment in socially responsible and Islamic stock markets in the short and long terms : an ARDL approach
Jawadi, Fredj; Jawadi, Nabila; Cheffou, Abdoukarim Idi - In: Applied economics 50 (2018) 39, pp. 4286-4294
Persistent link: https://www.econbiz.de/10012060727
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Directional time-varying partial correlation with the Gaussian copula-DCC-GARCH model
Kim, Jong-Min; Jung, Hojin - In: Applied economics 50 (2018) 41, pp. 4418-4426
Persistent link: https://www.econbiz.de/10012061173