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The influence of structural changes in volatility on shock transmission and volatility spillover among Iranian gold and foreign exchange markets
Shahrazi, Mohammad Mahdi; Elmi, Zahra Mila; Abounoori, … - In: Iranian economic review : journal of University of Tehran 18 (2014) 2, pp. 73-86
Persistent link: https://www.econbiz.de/10011455410
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Modeling high-frequency volatility with three-state FIGARCH models
Shi, Yanlin; Ho, Kin-Yip - In: Economic modelling 51 (2015), pp. 473-483
Persistent link: https://www.econbiz.de/10011476127
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Modelling persistence in conditional volatility of asset returns
Pandey, Rajan; Kumar, Arya - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 1, pp. 16-34
Persistent link: https://www.econbiz.de/10011748637
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Hedging with Chinese aluminum futures : international evidence with return and volatility spillover indices under structural breaks
Lau, Chi Keung; Bilgin, Mehmet Huseyin - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 37-48
Persistent link: https://www.econbiz.de/10009743748
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Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach
Vu Thanh Hai; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied economics 45 (2013) 19/21, pp. 2909-2914
Persistent link: https://www.econbiz.de/10010192361
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Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
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Time-varying correlations of REITs and implications for portfolio management
Anderson, Jackson; Anderson, Randy I.; Guirguis, Hany S.; … - In: Journal of real estate research : JRER ; a publication … 43 (2021) 3, pp. 317-334
Persistent link: https://www.econbiz.de/10012696750
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Predicting the volatility of crude oil futures : the roles of leverage effects and structural changes
Gong, Xu; Lin, Boqiang - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 610-640
Persistent link: https://www.econbiz.de/10012814845
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Are shocks on the returns and volatility of cryptocurrencies really persistent?
Charfeddine, Lanouar; Maouchi, Youcef - In: Finance research letters 28 (2019), pp. 423-430
Persistent link: https://www.econbiz.de/10012388358
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Volatility forecasting of crude oil futures market : which structural change-based HAR models have better performance?
Zhang, Yue-jun; Zhang, Han - In: International review of financial analysis 85 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014234971