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Timescale-dependent stock market comovement : BRICs vs. developed markets
Lehkonen, Heikki; Heimonen, Kari - In: Journal of empirical finance 28 (2014), pp. 90-103
Persistent link: https://www.econbiz.de/10011285085
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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - In: Journal of empirical finance 18 (2011) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10009301149
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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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On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
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Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors
Xinyi, Liu; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496
Persistent link: https://www.econbiz.de/10009615667
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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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Commodity price volatility under regulatory changes and disaster
Marvasti, Akbar; Lamberte, Antonio - In: Journal of empirical finance 38 (2016), pp. 355-361
Persistent link: https://www.econbiz.de/10011664764
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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
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Oil price shocks and the US stock market : a nonlinear approach
Hwang, Inwook; Kim, Jaebeom - In: Journal of empirical finance 64 (2021), pp. 23-36
Persistent link: https://www.econbiz.de/10013259395
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Forecasting global stock market implied volatility indices
Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129
Persistent link: https://www.econbiz.de/10012103431