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Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.; Ardia, David; Corré, Nienke - In: Economics letters 116 (2012) 3, pp. 322-325
Persistent link: https://www.econbiz.de/10009674398
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Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254
Persistent link: https://www.econbiz.de/10011618837
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GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
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Stock market volatility and public information flow : a non-linear perspective
Bertelsen, Kristoffer Pons; Borup, Daniel; Jakobsen, … - In: Economics letters 204 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012607808
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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Eraslan, Sercan; Ali, Faek Menla - In: Economics letters 172 (2018), pp. 59-62
Persistent link: https://www.econbiz.de/10012022066
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Presidential cycles and time-varying bond-stock market correlations : evidence from more than two centuries of data
Demirer, Rıza; Gupta, Rangan - In: Economics letters 167 (2018), pp. 36-39
Persistent link: https://www.econbiz.de/10012015767
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A mixed frequency approach for stock returns and valuation ratios
Dergiades, Theologos; Milas, Costas; Panagiōtidēs, … - In: Economics letters 187 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012504317
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Missing mean does no harm to volatility!
Anatolyev, Stanislav; Tarasyuk, Irina - In: Economics letters 134 (2015), pp. 62-64
Persistent link: https://www.econbiz.de/10011432253
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Stock exchange mergers and return co-movement : a flexible dynamic component correlations model
Hellström, Jörgen; Liu, Yuna; Sjögren, Tomas - In: Economics letters 121 (2013) 3, pp. 511-515
Persistent link: https://www.econbiz.de/10010393039
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Periodically collapsing Evans bubbles and stock-price volatility
Rotermann, Benedikt; Wilfling, Bernd - In: Economics letters 123 (2014) 3, pp. 383-386
Persistent link: https://www.econbiz.de/10010401222