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Journal of empirical finance
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ECONIS (ZBW)
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1
Is long memory necessary? : an empirical investigation of nonnegative interest rate processes
Duan, Jin-Chuan
;
Jacobs, Kris
- In:
Journal of empirical finance
15
(
2008
)
3
,
pp. 567-581
Persistent link: https://www.econbiz.de/10003759664
Saved in:
2
The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium
Gospodinov, Nikolaj
;
Jamali, Ibrahim
- In:
Journal of empirical finance
19
(
2012
)
4
,
pp. 497-510
Persistent link: https://www.econbiz.de/10009615666
Saved in:
3
Volatility in equity markets and monetary policy rate uncertainty
Kaminska, Iryna
;
Roberts-Sklar, Matt
- In:
Journal of empirical finance
45
(
2018
),
pp. 68-83
Persistent link: https://www.econbiz.de/10012102459
Saved in:
4
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
5
Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.
;
Su, Yuli
;
Huang, Ying
- In:
Journal of empirical finance
15
(
2008
)
4
,
pp. 789-798
Persistent link: https://www.econbiz.de/10003759773
Saved in:
6
Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine
;
Rockinger, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
Saved in:
7
Index futures and positive feedback trading : evidence from major stock exchanges
Antoniou, Antonios
;
Koutmos, Gregory
;
Pericli, Andreas …
- In:
Journal of empirical finance
12
(
2005
)
2
,
pp. 219-238
Persistent link: https://www.econbiz.de/10002685067
Saved in:
8
A comparison of extreme value theory approaches for determining value at risk
Brooks, Chris
;
Clare, Andrew D.
;
Dalle Molle, John W.
; …
- In:
Journal of empirical finance
12
(
2005
)
2
,
pp. 339-352
Persistent link: https://www.econbiz.de/10002685175
Saved in:
9
A re-examination of the asymmetric power ARCH model
Karanasos, Menelaos
;
Kim, Jinki
- In:
Journal of empirical finance
13
(
2006
)
1
,
pp. 113-128
Persistent link: https://www.econbiz.de/10003278634
Saved in:
10
Multistep predictions for multivariate GARCH models : closed form solution and the value for portfolio management
Hlouskova, Jaroslava
;
Schmidheiny, Kurt
;
Wagner, Martin
- In:
Journal of empirical finance
16
(
2009
)
2
,
pp. 330-336
Persistent link: https://www.econbiz.de/10003839340
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