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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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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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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
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Special issue: Complexity and non-linerarities in financial markets : perspectives from econophysics
Blenman, Lloyd P. (contributor) - 2012
Persistent link: https://www.econbiz.de/10009690104
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When financial economics influences physics : the role of Econophysics
Jovanovic, Franck; Mantegna, Rosario N.; Schinckus, … - In: International review of financial analysis 65 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012208581
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Performance and conservatism of monthly FHS VaR : an international investigation
Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-333
Persistent link: https://www.econbiz.de/10009272652
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Size and power of tests based on Permanent-Transitory Component Models
Casalin, Fabrizio - In: International review of financial analysis 47 (2016), pp. 142-153
Persistent link: https://www.econbiz.de/10011624095