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An empirical examination of currency ETFs tracking error
Ivanov, Stoyu I. - In: International journal of bonds and derivatives 1 (2015) 4, pp. 333-368
Persistent link: https://www.econbiz.de/10011546750
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Causality between equity mutual fund flows, stock market return and volatility : Indian evidence
Kaur, Inderjit; Vagrecha, Kamal - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 88-106
Persistent link: https://www.econbiz.de/10014388713
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On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas
Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88
Persistent link: https://www.econbiz.de/10009733297
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COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29
This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...
Persistent link: https://www.econbiz.de/10012626337
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Estimation of value-at-Risk on Romanian stock exchange using volatility forecasting models
Opreana, Claudiu Ilie - In: Expert journal of finance 1 (2013), pp. 4-18
Persistent link: https://www.econbiz.de/10011572395
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Autoregressive conditional density estimation
Hansen, Bruce E. - 1992
Persistent link: https://www.econbiz.de/10000840704
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The ACR model : a multivariate dynamic mixture autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10003759114
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Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.; Su, Yuli; Huang, Ying - In: Journal of empirical finance 15 (2008) 4, pp. 789-798
Persistent link: https://www.econbiz.de/10003759773
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Modeling long memory in REITs
Cotter, John; Stevenson, Simon - In: Real estate economics : journal of the American Real … 36 (2008) 3, pp. 533-554
Persistent link: https://www.econbiz.de/10003764888
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Poisson autoregression
Fokianos, Konstantinos (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003788916