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Quantile dependencies between discontinuities and time-varying rare disaster risks

Gillas, Konstantinos Gkillas; Floros, Christos; … - In: The European journal of finance 27 (2021) 10, pp. 932-962

Persistent link: https://www.econbiz.de/10012609242

How candlestick features affect the performance of volatility forecasts : evidence from the stock market

Su, Jung-bin - In: The European journal of finance 21 (2015) 4/6, pp. 486-506

Persistent link: https://www.econbiz.de/10010528953

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

Persistent link: https://www.econbiz.de/10012795039

Dynamic responses of major equity markets to the US fear index

Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23

.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

Persistent link: https://www.econbiz.de/10012173007

Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

A note on institutional hierarchy and volatility in financial markets

Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - In: The European journal of finance 19 (2013) 5/6, pp. 449-465

Persistent link: https://www.econbiz.de/10010243602

Quantification of VaR : a note on VaR valuation in the South African equity market

Mabitsela, Lesedi; Maré, E.; Kufakunesu, Rodwell - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 103-126

The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be normally distributed. However, though simple to...

Persistent link: https://www.econbiz.de/10011552897

Estimation of global systematic risk for securities listed in multiple markets

Ghai, Gauri L. (contributor) - In: The European journal of finance 7 (2001) 2, pp. 117-130

Persistent link: https://www.econbiz.de/10001603194

Is the covariance of international stock market returns regime dependent?

Jochum, Christian - In: The European journal of finance 7 (2001) 3, pp. 247-268

Persistent link: https://www.econbiz.de/10001603505

Validity of discrete-time stochastic volatility models in non-synchronous equity markets

Solibakke, Per Bjarte - In: The European journal of finance 9 (2003) 5, pp. 420-448

Persistent link: https://www.econbiz.de/10001885422

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