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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
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Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
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Reexamining the time-varying volatility spillover effects : a Markov switching causality approach
Zheng, Tingguo; Zuo, Haomiao - In: The North American journal of economics and finance : a … 26 (2013), pp. 643-662
Persistent link: https://www.econbiz.de/10010370486
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Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets : evidence from the United States
Tian, Shuairu; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 38 (2016), pp. 163-171
Persistent link: https://www.econbiz.de/10011673355
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Oil price shocks and stock-bond correlation
Ziadat, Salem Adel; Al Rababa'a, Abdel Razzaq; Ur … - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014486268
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Nonlinear dependence in cryptocurrency markets
Chaim, Pedro; Laurini, Márcio Poletti - In: The North American journal of economics and finance : a … 48 (2019), pp. 32-47
Persistent link: https://www.econbiz.de/10012120206
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Forecasting the Value-at-Risk of REITs using realized volatility jump models
Odusami, Babatunde Olatunji - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013186421
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Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
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Forecasting risk measures using intraday and overnight information
Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013449240