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Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China : a DCC-MIDAS-X approach considering structural breaks
Xiong, Youlin; Shen, Jun; Yoon, Seong-min; Dong, Xiyong - In: Finance research letters 61 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014490845
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Price discovery in the volatility index option market : a univariate GARCH approach
Venter, Pierre J; Maré, E. - In: Finance research letters 44 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10014494881
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Correlation impulse response functions
Hafner, Christian M.; Herwartz, Helmut - In: Finance research letters 57 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
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Illiquidity contagion and pricing of commonality risk : evidence from a dynamic conditional correlation model
Beyene, Nardos; Huang, Peng; Hueng, C. James - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805167
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The role of catastrophe bonds in an international multi-asset portfolio : diversifier, hedge, or safe haven?
Drobetz, Wolfgang; Schröder, Henning; Tegtmeier, Lars - In: Finance research letters 33 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430896
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The relationship between implied volatility and cryptocurrency returns
Akyildirim, Erdinc; Corbet, Shaen; Lucey, Brian M.; … - In: Finance research letters 33 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012430938
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Realized GARCH models : simpler is better
Xie, Haibin; Yu, Chengtan - In: Finance research letters 33 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430955
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Do it with a smile : forecasting volatility with currency options
Reus, Lorenzo; Carrasco, José A.; Pincheira, Pablo - In: Finance research letters 34 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012436844
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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Comparison of range-based volatility estimators against integrated volatility in European emerging markets
Arnerić, Josip; Matković, Mario; Sorić, Petar - In: Finance research letters 28 (2019), pp. 118-124
Persistent link: https://www.econbiz.de/10012388033