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Duration dependence in bull and bear stock marlets

Zhou, Haigang; Rigdon, Steven E. - In: Modern economy 2 (2011) 3, pp. 279-286

Persistent link: https://www.econbiz.de/10009532435

Maximum likelihood and Gaussian estimation of continuous time models in finance

Phillips, Peter C. B. (contributor); Yu, Jun (contributor) - 2007

Persistent link: https://www.econbiz.de/10003462517

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock … independently and identically distributed (i.i.d). It is therefore concluded that the generalized Pareto distribution (GPD) is a …

Persistent link: https://www.econbiz.de/10012604174

Is there long term memory in Uropean stock markets?

Christodoulou-Volos, Christos; Siokis, Fotios M.; … - In: International journal of economic research 10 (2013) 2, pp. 335-348

Persistent link: https://www.econbiz.de/10010391197

Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index

Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88

Persistent link: https://www.econbiz.de/10012030843

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657

Persistent link: https://www.econbiz.de/10011562539

Time-varying volatility and the power law distribution of stock returns

Warusawitharana, Missaka - In: Journal of empirical finance 49 (2018), pp. 123-141

Persistent link: https://www.econbiz.de/10012117726

Value at risk (VaR) analysis for fat tails and long memory in returns

Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230

Persistent link: https://www.econbiz.de/10011684346

Dependence in credit default swap and equity markets : dynamic copula with Markov-switching

Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678

Persistent link: https://www.econbiz.de/10011746197

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