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Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control

Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632

Persistent link: https://www.econbiz.de/10003025394

Analyzing commodity futures and stock market indices : hedging strategies using asymmetric dynamic conditional correlation models

Alshammari, Saad; Obeid, Hassan - In: Finance research letters 56 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014473654

Transaction costs and price volatility : new evidence from the Tokyo stock exchange

Liu, Shinhua; Zhu, Zhen - In: Journal of financial services research : JFSR 36 (2009) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10003870093

Transaction Costs and Price Volatility : New Evidence from the Tokyo Stock Exchange

Liu, Shinhua - 2010

We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications and control variables. This finding...

Persistent link: https://www.econbiz.de/10013138506