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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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Intertemporal relations between the market volatility index and stock index returns
Sarwar, Ghulam - In: Applied financial economics 22 (2012) 10/12, pp. 899-909
Persistent link: https://www.econbiz.de/10009624959
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Does the introduction of stock index futures effectively reduce stock market volatility? : Is the 'futures effect' immediate? ; Evidence from the Italian stock exchange using GARCH
Bologna, Pierluigi; Cavallo, Laura - In: Applied financial economics 12 (2002) 3, pp. 183-192
Persistent link: https://www.econbiz.de/10001640358
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The impact of stock incremental information on the volatility of the Athens stock exchange
Diamandis, Panayotis F.; Drakos, Anastassios A.; Volis, … - In: Applied financial economics 17 (2007) 4/6, pp. 413-424
Persistent link: https://www.econbiz.de/10003446057
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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
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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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Stylized facts of return series, robust estimates and three popular models of volatility
Teräsvirta, Timo; Zhao, Zhenfang - In: Applied financial economics 21 (2011) 1/3, pp. 67-94
Persistent link: https://www.econbiz.de/10009124669
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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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Testing volatility on the Trinidad and Tobago Stock Exchange
Leon, Hyginus; Nicholls, Shelton; Sergeant, Kelvin - In: Applied financial economics 10 (2000) 2, pp. 207-220
Persistent link: https://www.econbiz.de/10001526269
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Volatility forecasting : evidence from a fractional integrated asymmetric power ARCH skewed-t model
Degiannakis, Stavros - In: Applied financial economics 14 (2004) 18, pp. 1333-1342
Persistent link: https://www.econbiz.de/10002438260