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Effects of economic policy uncertainty shocks on the long-run US-UK stock market correlation
Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan - 2016
Persistent link: https://www.econbiz.de/10011541711
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Economic policy uncertainty and long-run stock market volatility and correlation
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2018
Persistent link: https://www.econbiz.de/10011864884
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The forecast performance of competing implied volatility measures : the case of individual stocks
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008651738
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Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George Eugene - 2009
Persistent link: https://www.econbiz.de/10003849492
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Ørregaard Nielsen, Morten; … - 2012
Persistent link: https://www.econbiz.de/10009531560
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Macro-finance determinants of the long-run stock-bond correlation : the DCC-MIDAS specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2014
Persistent link: https://www.econbiz.de/10010346665
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How Non-Gaussian shocks affect risk premia in non-linear DSGE models
Andreasen, Martin Møller - 2010
Persistent link: https://www.econbiz.de/10008659421
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The multivariate supOU stochastic volatility model
Barndorff-Nielsen, Ole E.; Stelzer, Robert - 2009
Persistent link: https://www.econbiz.de/10003878816
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Volatility and public news announcements
Bollerslev, Tim; Li, Jia; Xue, Yuan - 2016
Persistent link: https://www.econbiz.de/10011524097
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Retrieving risk-neutral densities embedded in VIX options : a non-structural approach
Barletta, Andrea; Santucci de Magistris, Paolo; … - 2016
Persistent link: https://www.econbiz.de/10011524099