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The role of credit in the Great Moderation : a multivariate GARCH approach
Grydaki, Maria; Bezemer, Dirk Johan - In: Journal of banking & finance 37 (2013) 11, pp. 4615-4626
Persistent link: https://www.econbiz.de/10010248518
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Stock market volatility: Identifying major drivers and the nature of their impact
Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011543844
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Why does higher variability of trading activity predict lower expected returns?
Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470
Persistent link: https://www.econbiz.de/10011544044
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Do negative and positive equity returns share the same volatility dynamics?
Palandri, Alessandro - In: Journal of banking & finance 58 (2015), pp. 486-505
Persistent link: https://www.econbiz.de/10011544048
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Modeling interest rate volatility : a Realized GARCH approach
Tian, Shuairu; Hamori, Shigeyuki - In: Journal of banking & finance 61 (2015), pp. 158-171
Persistent link: https://www.econbiz.de/10011545170
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Time-varying international stock market interaction and the identification of volatility signals
Strohsal, Till; Weber, Enzo - In: Journal of banking & finance 56 (2015), pp. 28-36
Persistent link: https://www.econbiz.de/10011488567
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The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 40 (2014), pp. 303-320
Persistent link: https://www.econbiz.de/10010402181
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Cojumps in stock prices : empirical evidence
Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen - In: Journal of banking & finance 40 (2014), pp. 443-459
Persistent link: https://www.econbiz.de/10010404700
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Structural breaks in volatility spillovers between international financial markets : contagion or mere interdependence?
Jung, Robert; Maderitsch, Robert - In: Journal of banking & finance 47 (2014), pp. 331-342
Persistent link: https://www.econbiz.de/10010506950