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137
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122
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120
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117
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116
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110
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109
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109
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107
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106
Faff, Robert W.
100
Aizenman, Joshua
95
Timmermann, Allan
95
Stambaugh, Robert F.
93
Guidolin, Massimo
92
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89
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88
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88
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Economics letters
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1
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the
volatility
of stock returns in Peru
Rodriguez, Gabriel
- In:
Revista de análisis económico
32
(
2017
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
Saved in:
2
Average skewness in global equity markets
Atilgan, Yigit
;
Demirtas, K. Ozgur
;
Günaydin, A. Doruk
; …
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 245-271
Persistent link: https://www.econbiz.de/10014326300
Saved in:
3
The impact of news on higher moments
Jondeau, Eric
(
contributor
);
Rockinger, Michael
(
contributor
)
-
2006
domestic
volatility
after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
Saved in:
4
On the relationship between weather and stock market returns
Floros, Christos
- In:
Studies in economics and finance
28
(
2011
)
1
,
pp. 5-13
Persistent link: https://www.econbiz.de/10009007582
Saved in:
5
A comparison of tail behaviour of stock market returns
Echaust, Krzysztof
- In:
Folia oeconomica Stetinensia : FOS
14
(
2014
)
1
,
pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
Saved in:
6
Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.
;
Seaton, James
;
Smith, Peter N.
; …
-
2015
Persistent link: https://www.econbiz.de/10010531062
Saved in:
7
Regime shifts in asymmetric GARCH models assuming heavy-tailed distribution : evidence from GCC stock markets
Alfreedi, Ajab A.
;
Isa, Zaidi
;
Hassan, Abu
- In:
Journal of statistical and econometric methods
1
(
2012
)
1
,
pp. 43-76
variance equations overcomes the overestimation of
volatility
persistence. In addition, we have discovered that the sudden …
Persistent link: https://www.econbiz.de/10009769997
Saved in:
8
Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions
Assaf, Ata
- In:
Journal of multinational financial management
29
(
2015
),
pp. 30-45
Persistent link: https://www.econbiz.de/10011539511
Saved in:
9
Volatility
modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye
;
Demiralay, Sercan
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
1/3
,
pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
Saved in:
10
Forecasting
volatility
of European and Asian equity indices with Hansen's skew-t and fat tailed distributions, as well as with non-linear asymmetric effects
Gabrielsen, Alexandros
;
Sarmpezoudis, Sotirios
- In:
International journal of economic research
9
(
2012
)
2
,
pp. 243-263
Persistent link: https://www.econbiz.de/10009685246
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