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Energy ETF return jump contagion : a multivariate Hawkes process approach
Yang, Steve Y.; Liu, Yunfeng; Yu, Yangyang; Mo, Sheung … - In: The European journal of finance 28 (2022) 7, pp. 761-783
Persistent link: https://www.econbiz.de/10013373322
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The calm after the storm : implied volatility and future stock index returns
Lubnau, Thorben Manfred; Todorova, Neda - In: The European journal of finance 21 (2015) 13/15, pp. 1282-1296
Persistent link: https://www.econbiz.de/10011419879
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Threshold non-linear dynamics between Hang Seng stock index and futures returns
Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486
Persistent link: https://www.econbiz.de/10009509864
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The relative pricing of European dividend futures and their predictive abilities for index returns
Stotz, Olaf - In: The European journal of finance 22 (2016) 13/15, pp. 1484-1506
Persistent link: https://www.econbiz.de/10011715480
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - In: The European journal of finance 8 (2002) 3, pp. 302-321
Persistent link: https://www.econbiz.de/10001704471
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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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The variance implied conditional correlation
Algaba, Andres; Boudt, Kris; Vanduffel, Steven - In: The European journal of finance 26 (2020) 2/3, pp. 200-222
Persistent link: https://www.econbiz.de/10012207197
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Industry portfolio allocation with asymmetric correlations
Kim, Myeong Hyeon; Park, Seyoung; Yoon, Jong Mun - In: The European journal of finance 27 (2021) 1/2, pp. 178-198
Persistent link: https://www.econbiz.de/10012424937
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The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations
Figueiredo, Antonio; Parhizgari, Ali M.; Dupoyet, Brice - In: The European journal of finance 29 (2023) 18, pp. 2128-2153
Persistent link: https://www.econbiz.de/10014418133
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Equilibrium moment restrictions on asset returns : normal and crisis periods
Simmons, Peter J.; Tantisantiwong, Nongnuch - In: The European journal of finance 20 (2014) 10/12, pp. 1064-1089
Persistent link: https://www.econbiz.de/10010465917