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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
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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
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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
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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
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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
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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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Multifractal analysis of realized volatilities in Chinese stock market
Liu, Yufang; Zhang, Weiguo; Fu, Junhui; Wu, Xiang - In: Computational economics 56 (2020) 2, pp. 319-336
Persistent link: https://www.econbiz.de/10012272033
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Time-varying asymmetric tail dependence of international equities markets
Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10013332425
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Goodness of fit tests in modeling the distribution of the daily rate of return of the WIG20 companies
Bednarz, Kamila - In: Folia oeconomica Stetinensia : FOS 10 (2011) 2, pp. 103-113
Persistent link: https://www.econbiz.de/10009663712
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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...
Persistent link: https://www.econbiz.de/10011474619