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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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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
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Correlations between oil and stock markets : a wavelet-based approach
Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227
Persistent link: https://www.econbiz.de/10011440530
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Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131
Persistent link: https://www.econbiz.de/10009536052
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Financial and nonfinancial global stock market volatility shocks
Kang, Wensheng; Ratti, Ronald A.; Vespignani, Joaquin - In: Economic modelling 96 (2021), pp. 128-134
Persistent link: https://www.econbiz.de/10012745343
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Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis
Niţoi, Mihai; Pochea, Maria Miruna - In: Economic modelling 86 (2020), pp. 133-147
Persistent link: https://www.econbiz.de/10012415531
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Returns, correlations, and volatilities in equity markets : evidence from six OECD countries during the US financial crisis
Kim, Hyun Seok; Min, Hong-ghi; McDonald, Judith Ann - In: Economic modelling 59 (2016), pp. 9-22
Persistent link: https://www.econbiz.de/10011647590
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Modelling stock price-exchange rate nexus in OECD countries : a new perspective
Salisu, Afees A.; Ndako, Umar Bida - In: Economic modelling 74 (2018), pp. 105-123
Persistent link: https://www.econbiz.de/10012101318
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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