Similar Search Results

Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets

Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118

Persistent link: https://www.econbiz.de/10011653721

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

Impact of the FII's Indian equity investment behavior on the BRIC countries' stock market volatility during the Subprime Crisis : an empirical investigation

Amanjot Singh; Kaur, Parneet - In: Journal of academic research in economics 6 (2014) 3, pp. 336-349

Persistent link: https://www.econbiz.de/10011348110

Macro fundamentals as a source of stock market volatility in China : a GARCH-MIDAS approach

Girardin, Eric; Joyeux, Roselyne - In: Economic modelling 34 (2013), pp. 59-68

Persistent link: https://www.econbiz.de/10010360615

Empirical analysis of dynamic linkages between China and international stock markets

Chiang, Thomas C.; Chen, Xiaoyu - In: Journal of mathematical finance 6 (2016) 1, pp. 189-212

Persistent link: https://www.econbiz.de/10011543897

A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange

Elenjical, Timmy; Mwangi, Patrick; Panulo, Barry; … - In: Risk management : a journal of risk, crisis and disaster 18 (2016) 2/3, pp. 89-110

Persistent link: https://www.econbiz.de/10011537385

Inflation and inflation uncertainty in Turkey

Doğru, Bülent - In: The empirical economics letters : a monthly … 13 (2014) 4, pp. 401-411

Persistent link: https://www.econbiz.de/10010406029

Forecasting stock index volatility with GARCH models : international evidence

Sharma, Prateek; Vipul - In: Studies in economics and finance 32 (2015) 4, pp. 445-463

Persistent link: https://www.econbiz.de/10011492253

Risk-free rate effects on conditional variances and conditional correlations of stock returns

Palandri, Alessandro - In: Journal of empirical finance 25 (2014), pp. 95-111

Persistent link: https://www.econbiz.de/10010462056

Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit

Guidolin, Massimo; Pedio, Manuela - 2020

Using data on international, on-line media coverage and tone of the Brexit referendum, we test whether it is media coverage or tone to provide the largest forecasting performance improvements in the prediction of the conditional variance of weekly FTSE 100 stock returns. We find that versions of...

Persistent link: https://www.econbiz.de/10012487265