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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach
Sim, Nicholas - In: International review of financial analysis 48 (2016), pp. 31-45
Persistent link: https://www.econbiz.de/10011624367
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The finite sample power of long-horizon predictive tests in models with financial bubbles
Maynard, Alex; Ren, Dongmeng - In: International review of financial analysis 63 (2019), pp. 418-430
Persistent link: https://www.econbiz.de/10012208194
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Hedging the black swan : conditional heteroskedasticity and tail dependence in S&P500 and VIX
Hilal, Sawsan; Poon, Ser-Huang; Tawn, Jonathan - In: Journal of banking & finance 35 (2011) 9, pp. 2374-2387
Persistent link: https://www.econbiz.de/10009247196
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Quantifying volatility clustering in financial time series
Tseng, Jie-jun; Li, Sai-ping - In: International review of financial analysis 23 (2012), pp. 11-19
Persistent link: https://www.econbiz.de/10009690145
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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Estimating non-linear serial and cross-interdependence between financial assets
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of banking & finance 37 (2013) 3, pp. 837-846
Persistent link: https://www.econbiz.de/10009708737
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Modelling long run comovements in equity markets : a flexible approach
Martins, Luís Filipe; Gabriel, Vasco J. - In: Journal of banking & finance 47 (2014), pp. 288-295
Persistent link: https://www.econbiz.de/10010506954
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Testing for financial crashes using the Log Periodic Power Law model
Brée, David S.; Joseph, Nathan Lael - In: International review of financial analysis 30 (2013), pp. 287-297
Persistent link: https://www.econbiz.de/10010461550
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Long memory in financial markets : a heterogeneous agent model perspective
Zheng, Min; Liu, Ruipeng; Li, Youwei - In: International review of financial analysis 58 (2018), pp. 38-51
Persistent link: https://www.econbiz.de/10012006389