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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
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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
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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
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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
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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
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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
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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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Foreign speculators and emerging equity markets
Bekaert, Geert; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 55 (2000) 2, pp. 565-613
Persistent link: https://www.econbiz.de/10001497269
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Duration-Based Stock Valuation : Reassessing Stock Market Performance and Volatility
van Binsbergen, Jules H. - 2020
) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …
Persistent link: https://www.econbiz.de/10012481562
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Modeling Financial Contagion Using Mutually Exciting Jump Processes
Aït-Sahalia, Yacine - 2010
introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …
Persistent link: https://www.econbiz.de/10012462802