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Volatility and the hedging effectiveness of China fuel oil futures
Chen, Wei; Ford, James L. - 2010
Persistent link: https://www.econbiz.de/10009374212
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Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43
breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …
Persistent link: https://www.econbiz.de/10011393264
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Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
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Measuring volatility persistence and risk in Southern and East African stock markets
Coffie, William - In: International journal of economics and business research 9 (2015) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10011332918
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Return and volatility linkages among G-7 and selected emerging markets
Bhuyan, Rafiq; Elian, Mohammad I.; Bagnied, Mohsen; … - In: International journal of economics and finance 7 (2015) 6, pp. 153-165
Persistent link: https://www.econbiz.de/10011335029
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New evidence on sources of leverage effects in individual stocks
Smith, Geoffrey Peter - In: The financial review : the official publication of the … 50 (2015) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10011338155
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Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data
Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290
Persistent link: https://www.econbiz.de/10011348408
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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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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Volatility transmission between stock market and foreign exchange returns : evidence from Botswana, Kenya and South Africa
Braha, Emmanuel Anoruo Habtu - In: African journal of business and economic research : AJBER 6 (2011) 2/3, pp. 73-91
Persistent link: https://www.econbiz.de/10009707921