Similar Search Results

Estimating downside risk in stock returns under structural breaks

Hood, Matthew; Malik, Farooq - In: International review of economics & finance : IREF 58 (2018), pp. 102-112

Persistent link: https://www.econbiz.de/10012034196

Tzang, Shyh-Weir; Wang, Chou-Wen; Yu, Min-Teh - In: International review of economics & finance : IREF 43 (2016), pp. 72-87

Persistent link: https://www.econbiz.de/10011625535

Information transmission and dynamics of stock price movements : an empirical analysis of BRICS and US stock markets

Bhuyan, Rafiqul; Robbani, Mohammad G.; Talukdar, Bakhtear; … - In: International review of economics & finance : IREF 46 (2016), pp. 180-195

Persistent link: https://www.econbiz.de/10011626744

A fast, accurate method for value-at-risk and expected shortfall

Krause, Jochen; Paolella, Marc S. - In: Econometrics : open access journal 2 (2014) 2, pp. 98-122

exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …

Persistent link: https://www.econbiz.de/10010429763

Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?

Zhang, Yue-jun; Yao, Ting; He, Ling-yun; Ripple, Ronald D. - In: International review of economics & finance : IREF 59 (2019), pp. 302-317

Persistent link: https://www.econbiz.de/10012202881

Terrorism and capital markets : the effects of the Madrid and London bomb attacks

Kollias, Chrēstos; Papadamou, Stephanos; Stagiannis, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 532-541

Persistent link: https://www.econbiz.de/10009303984

Volatility transmission between gold and oil futures under structural breaks

Ewing, Bradley T.; Malik, Farooq - In: International review of economics & finance : IREF 25 (2013), pp. 113-121

Persistent link: https://www.econbiz.de/10009693332

Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model

Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398

Persistent link: https://www.econbiz.de/10012692552

The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis

Chen, Qiang; Gong, Yuting - In: International review of economics & finance : IREF 64 (2019), pp. 102-121

Persistent link: https://www.econbiz.de/10012322288

Copula-based vMEM specifications versus alternatives : the case of trading activity

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...

Persistent link: https://www.econbiz.de/10011654447