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Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
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Stock market dynamics in a regime-switching asymmetric power GARCH model
Ané, Thierry; Ureche-Rangau, Loredana - In: International review of financial analysis 15 (2006) 2, pp. 109-129
Persistent link: https://www.econbiz.de/10003320645
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Price and volatility spillovers across North American, European and Asian stock markets
Singh, Priyanka D.; Kumar, Brajesh; Pandey, Ajay - In: International review of financial analysis 19 (2010) 1, pp. 55-64
Persistent link: https://www.econbiz.de/10008668720
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Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures
Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114
Persistent link: https://www.econbiz.de/10011623719
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Implied volatility index for the Norwegian equity market
Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141
Persistent link: https://www.econbiz.de/10011624091
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Asymmetries of the intraday return-volatility relation
Badshah, Ihsan Ullah; Frijns, Bart; Knif, Johan; … - In: International review of financial analysis 48 (2016), pp. 182-192
Persistent link: https://www.econbiz.de/10011624483
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Time varying volatility indices and their determinants : evidence from developed and emerging stock markets
Prasad, Nalin; Grant, Andrew; Kim, Suk-Joong - In: International review of financial analysis 60 (2018), pp. 115-126
Persistent link: https://www.econbiz.de/10012007551
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Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012437093
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The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10014446963
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Cross-market volatility index with Factor-DCC
Aboura, Sofiane; Chevallier, Julien - In: International review of financial analysis 42 (2015), pp. 132-140
Persistent link: https://www.econbiz.de/10011573356