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The distribution of realized variances : marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - In: International review of financial analysis 18 (2009) 3, pp. 134-150

Persistent link: https://www.econbiz.de/10003880027

Non-extensive properties, multifractality, and inefficiency degree of the Athens Stock Exchange General Index

Stavroyiannis, S.; Makris, I.; Nikolaidis, V. - In: International review of financial analysis 19 (2010) 1, pp. 19-24

Persistent link: https://www.econbiz.de/10008668732

Multivariate affine generalized hyperbolic distributions: an empirical investigation

Barbachan, José Santiago Fajardo; Farias, Aquiles Rocha de - In: International review of financial analysis 18 (2009) 4, pp. 174-184

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their...

Persistent link: https://www.econbiz.de/10003921092

The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

Credit contagion in the presence of non-normal shocks

Batiz-Zuk, Enrique; Christodoulakis, George A.; Poon, … - In: International review of financial analysis 37 (2015), pp. 129-139

Persistent link: https://www.econbiz.de/10011317232

How does trading volume affect financial return distributions?

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206

Persistent link: https://www.econbiz.de/10010530243

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

Value-at-risk for long and short trading positions : evidence from developed and emerging equity markets

Diamandis, Panayotis F.; Drakos, Anastassios A.; … - In: International review of financial analysis 20 (2011) 3, pp. 165-176

Persistent link: https://www.econbiz.de/10009295738

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

Correlation and return dispersion dynamics in Chinese markets

Demirer, Rıza; Lien, Da-hsiang Donald - In: International review of financial analysis 14 (2005) 4, pp. 477-491

Persistent link: https://www.econbiz.de/10003117573