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International linkages of the Chinese stock exchange : a multivariate GARCH analysis

Li, Hong - In: Applied financial economics 17 (2007) 4/6, pp. 285-297

Persistent link: https://www.econbiz.de/10003445979

Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?

Waszczuk, Antonia - In: Applied financial economics 23 (2013) 19/21, pp. 1497-1508

Persistent link: https://www.econbiz.de/10010259376

The weekday effect on the Shanghai stock exchange

Wong, Kie Ann; Chen, Renbao; Shang, Xiaojun - In: Applied financial economics 9 (1999) 6, pp. 551-565

Persistent link: https://www.econbiz.de/10001525267

An empirical test of the risk-return relationship on the Taiwan stock exchange

Huang, Yen-sheng - In: Applied financial economics 7 (1997) 3, pp. 229-239

Persistent link: https://www.econbiz.de/10001227560

Stock market returns in thin markets : evidence from the Vienna Stock Exchange

Huber, Peter - In: Applied financial economics 7 (1997) 5, pp. 493-498

Persistent link: https://www.econbiz.de/10001229838

Ex-dividend day stock price falls on the Spanish stock market

Espitia-Escuer, Manuel Antonio - In: Applied financial economics 7 (1997) 5, pp. 481-492

Persistent link: https://www.econbiz.de/10001229840

Security price anomalies in the London International Stock Exchange : a 60 year perspective

Arsad, Zainudin - In: Applied financial economics 7 (1997) 5, pp. 455-464

Persistent link: https://www.econbiz.de/10001229848

Stochastic behaviour of the Athens Stock Exchange : a case of institutional nonsynchronous trading

Papachristou, George - In: Applied financial economics 9 (1999) 3, pp. 239-250

Persistent link: https://www.econbiz.de/10001454467

Cross-sectional estimation of stock returns in small markets : the case of the Athens Stock Exchange

Leledakis, George; Davidson, Ian; Karathanassis, George A. - In: Applied financial economics 13 (2003) 6, pp. 413-426

Persistent link: https://www.econbiz.de/10001770756

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10010265962