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Time-varying mixture GARCH models and asymmetric volatility
Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
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Bitcoin returns and risk : a general GARCH and GAS analysis
Troster, Victor; Tiwari, Aviral Kumar; Shahbaz, Muhammad; … - In: Finance research letters 30 (2019), pp. 187-193
Persistent link: https://www.econbiz.de/10012420417
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GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman; Šopov, Boril - In: The North American journal of economics and finance : a … 37 (2016), pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
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Oil stocks, risk factors, and tail behavior
Lian, Ziying; Cai, Jun; Webb, Robert I. - In: Energy economics 91 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012518738
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Risk spillovers between oil and stock markets : a VAR for VaR analysis
Wen, Danyan; Wang, Gang-Jin; Ma, Chaoqun; Wang, Yudong - In: Energy economics 80 (2019), pp. 524-535
Persistent link: https://www.econbiz.de/10012173682
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Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo; Guillén, Montserrat - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Risk dependence and cointegration between pharmaceutical stock markets : the case of China and the USA
Zhou, Xinmiao; Qian, Huanhuan; Pérez Rodríguez, Jorge V. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012654918
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Is there dependence and systemic risk between oil and renewable energy stock prices?
Reboredo, Juan Carlos - In: Energy economics 48 (2015), pp. 32-45
Persistent link: https://www.econbiz.de/10011533695