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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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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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Tail risk under price limits
Oh, Sekyung; Kee, Hyukdo; Park, Kinam - In: Economic modelling 77 (2019), pp. 113-123
Persistent link: https://www.econbiz.de/10012198437
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Policy risks, technological risks and stock returns : new evidence from the US stock market
Apergēs, Nikolaos - In: Economic modelling 51 (2015), pp. 359-365
Persistent link: https://www.econbiz.de/10011476052
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Role of global, regional, and advanced market economic policy uncertainty on bond spreads in emerging markets
Balcilar, Mehmet; Usman, Ojonugwa; Gungor, Hasan; … - In: Economic modelling 102 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012796953
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Does stock market liberalization mitigate litigation risk? : evidence from Stock Connect in China
Xiong, Lingyun; Deng, Hui; Xiao, Lijuan - In: Economic modelling 102 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012797336
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets
Fang, Libing; Yu, Honghai; Li, Lei - In: Economic modelling 66 (2017), pp. 139-145
Persistent link: https://www.econbiz.de/10011813695
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The source of global stock market risk : a viewpoint of economic policy uncertainty
Tsai, I-Chun - In: Economic modelling 60 (2017), pp. 122-131
Persistent link: https://www.econbiz.de/10011734183
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US economic policy uncertainty and co-movements between Chinese and US stock markets
Li, Xiaoming; Peng, Lu - In: Economic modelling 61 (2017), pp. 27-39
Persistent link: https://www.econbiz.de/10011736687