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Evaluating value at risk using selection criteria of the model and the information set
Gargallo, Pilar; Miguel, Jesús; Olave Rubio, Pilar; … - In: Applied financial economics 20 (2010) 16/18, pp. 1415-1428
Persistent link: https://www.econbiz.de/10009010927
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Trade intensity in the Russian stock market : dynamics, distribution and determinants
Anatolyev, Stanislav; Shakin, Dmitry - In: Applied financial economics 17 (2007) 1/3, pp. 87-104
Persistent link: https://www.econbiz.de/10003427015
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The relationship between the S&P 500 spot and futures indices : brothers or cousins?
Chiu, Chien-liang; Chiang, Shu-mei; Kao, Feng - In: Applied financial economics 16 (2006) 5, pp. 405-412
Persistent link: https://www.econbiz.de/10003289287
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Volatility relationship between stock performance and real output
Ahn, Eun S.; Lee, Jin Man - In: Applied financial economics 16 (2006) 11, pp. 777-784
Persistent link: https://www.econbiz.de/10003350994
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Sampling properties of criteria for evaluating GARCH volatility forecasts
Ulu, Yasemin - In: Applied financial economics 17 (2007) 7/9, pp. 671-681
Persistent link: https://www.econbiz.de/10003491214
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Forecasting volatility in the financial markets : a comparison of alternative distributional assumptions
Chuang, I.-yuan; Lu, Jin-ray; Lee, Pei-hsuan - In: Applied financial economics 17 (2007) 13/15, pp. 1051-1060
Persistent link: https://www.econbiz.de/10003590371
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The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks
Voukelatos, Nikolaos - In: Applied financial economics 20 (2010) 19/21, pp. 1627-1638
Persistent link: https://www.econbiz.de/10009011576
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The smooth transition GARCH model: application to international stock indexes
Khemiri, Rim - In: Applied financial economics 21 (2011) 7/9, pp. 555-562
Persistent link: https://www.econbiz.de/10009153250
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Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
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Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach
Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228
Persistent link: https://www.econbiz.de/10010418906