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Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
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Modelling stock return volatility dynamics in selected African markets
King, Daniel; Botha, Ferdi - In: Economic modelling 45 (2015), pp. 50-73
Persistent link: https://www.econbiz.de/10011334173
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Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps
Sévi, Benoît - In: Economic modelling 44 (2015), pp. 243-251
Persistent link: https://www.econbiz.de/10011326237
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An empirical analysis of the downside risk-return trade-off at daily frequency
Sévi, Benoît - In: Economic modelling 31 (2013), pp. 189-197
Persistent link: https://www.econbiz.de/10009729143
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Real or spurious long memory characteristics of volatility : empirical evidence from an emerging market
Yalama, Abdullah; Celik, Sibel - In: Economic modelling 30 (2013), pp. 67-72
Persistent link: https://www.econbiz.de/10009702263
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Testing for a unit root in the presence of stochastic volatility and leverage effect
Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038
Persistent link: https://www.econbiz.de/10009666985
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Common persistence in conditional variance : a reconsideration
Li, Chang-shuai - In: Economic modelling 29 (2012) 5, pp. 1809-1819
Persistent link: https://www.econbiz.de/10009667096
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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Determinants of stock market comovements among US and emerging economies during the US financial crisis
Hwang, Eugene; Min, Hong-ghi; Kim, Bonghan; Kim, Hyeongwoo - In: Economic modelling 35 (2013), pp. 338-348
Persistent link: https://www.econbiz.de/10010259814