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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …
Persistent link: https://www.econbiz.de/10013375264
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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia
Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
, and Germany) to the Indian stock market, and that spillover continues in the post-COVID period. There is a positive …
Persistent link: https://www.econbiz.de/10013397677
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Box-Jenkins modeling of Greek stock prices data
Dritsaki, Chaido - In: International journal of economics and financial issues … 5 (2015) 3, pp. 740-747
Persistent link: https://www.econbiz.de/10011454204
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Market abuse under different close price determination mechanisms : a European case
Alexakis, Christos A.; Pappas, Vasileios; Skarmeas, … - In: International review of financial analysis 74 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012803939
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Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
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Founding family ownership and firm performance : some evidence from the Italian stock market
Pierni, Pierluigi; Montagna, Dennis Marco; Maggi, Mario … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-19
the company governance, at least in Italy, may be beneficial for the superior performance of the Founding family portfolio …
Persistent link: https://www.econbiz.de/10013273513
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Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10012436893
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Monetary policy and stock returns under the MPC and inflation targeting
Chortareas, Georgios E.; Noikokyris, Emmanouil - In: International review of financial analysis 31 (2014), pp. 109-116
Persistent link: https://www.econbiz.de/10010461531
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Predicting stock returns in the presence of COVID-19 pandemic : the role of health news
Salisu, Afees A.; Xuan Vinh Vo - In: International review of financial analysis 71 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012437031
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The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-17
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility exponential GARCH (EGARCH) model with an integrated...
Persistent link: https://www.econbiz.de/10014295230