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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Economic modelling 58 (2016), pp. 580-587
Persistent link: https://www.econbiz.de/10011647569
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Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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An inverse hyperbolic sine heteroskedastic latent class panel tobit model : an application to modelling charitable donations
Brown, Sarah; Greene, William H.; Harris, Mark N.; … - In: Economic modelling 50 (2015), pp. 228-236
Persistent link: https://www.econbiz.de/10011440544
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An automatic bias correction procedure for volatility estimation using extreme values of asset prices
Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712
Persistent link: https://www.econbiz.de/10010194420
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New estimates of time-varying currency betas : a trivariate BEKK approach
Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139
Persistent link: https://www.econbiz.de/10010478223
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Structural breaks and GARCH models of stock return volatility : the case of South Africa
Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - In: Economic modelling 29 (2012) 6, pp. 2435-2443
Persistent link: https://www.econbiz.de/10009673703
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The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model
Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309
Persistent link: https://www.econbiz.de/10009673749