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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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Are idiosyncratic volatility and MAX priced in the Canadian market?
Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36
Persistent link: https://www.econbiz.de/10011662897
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The effects of non-trading on the illiquidity ratio
Chelley-Steeleya, Patricia L.; Lambertides, Neophytos; … - In: Journal of empirical finance 34 (2015), pp. 204-228
Persistent link: https://www.econbiz.de/10011557118
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Pricing of liquidity risks : evidence from multiple liquidity measures
Kim, Soon-Ho; Lee, Kuan-hui - In: Journal of empirical finance 25 (2014), pp. 112-133
Persistent link: https://www.econbiz.de/10010462050
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Liquidation discount : a novel application of ARFIMA-GARCH
Singh, Ranjodh B.; Gould, John; Chan, Felix; Yang, Wenling - In: Journal of empirical finance 36 (2016), pp. 151-161
Persistent link: https://www.econbiz.de/10011662835
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Modeling and forecasting stock return volatility using a random level shift model
Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 138-156
Persistent link: https://www.econbiz.de/10003943961
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A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
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Modelling stock volatilities during financial crises : a time varying coefficient approach
Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128
Persistent link: https://www.econbiz.de/10011300501
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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152
Persistent link: https://www.econbiz.de/10011556809