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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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Do trading volumes explain the persistence of GARCH effects?
Carroll, Rachael; Kearney, Colm - In: Applied financial economics 22 (2012) 22/24, pp. 1993-2008
Persistent link: https://www.econbiz.de/10009719309
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Do foreign exchange risk premiums relate to the volatility in the foreign exchange and equity markets?
Jiang, Christine X.; Chiang, Thomas C. - In: Applied financial economics 10 (2000) 1, pp. 95-104
Persistent link: https://www.econbiz.de/10001525818
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Volatility spillovers across equity markets : European evidence
Kanas, Angelos - In: Applied financial economics 8 (1998) 3, pp. 245-256
Persistent link: https://www.econbiz.de/10001244168
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001568288
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Do interest rate differentials drive the volatility of exchange rates? : evidence from an extended stochastic volatility model
Ulm, Maren; Hambuckers, Julien - In: Journal of empirical finance 65 (2022), pp. 125-148
Persistent link: https://www.econbiz.de/10013286403
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Estimating stock market volatility using asymmetric GARCH models
Alberg, Dima; Shalit, Haim; Yosef, Rami - In: Applied financial economics 18 (2008) 13/15, pp. 1201-1208
Persistent link: https://www.econbiz.de/10003760244
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Does idiosyncratic risk matter? : evidence from European stock markets
Angelidis, Timotheos; Tessaromatis, Nikolaos P. - In: Applied financial economics 18 (2008) 1/3, pp. 125-137
Persistent link: https://www.econbiz.de/10003739011
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Why does the correlation between stock and bond returns vary over time?
Andersson, Magnus - In: Applied financial economics 18 (2008) 1/3, pp. 139-151
Persistent link: https://www.econbiz.de/10003739018
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The mean volatility asymmetry in Asian stock markets
Liau, Yung-Shi; Yang, Jack J. W. - In: Applied financial economics 18 (2008) 4/6, pp. 411-419
Persistent link: https://www.econbiz.de/10003739136