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Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
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Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
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Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets
Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10013256597
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Assessment of volatility using exponential generalized autoregressive conditional heteroscedastic model in BSE stock market
Kundu, Amit - In: The Indian journal of economics 97 (2017) 387, pp. 589-605
Persistent link: https://www.econbiz.de/10011991586
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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Structural volatility impulse response function and asymptotic inference
Liu, Xiaochun - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 316-339
Persistent link: https://www.econbiz.de/10011987769
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184
Persistent link: https://www.econbiz.de/10010403630
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Portfolio analysis of intraday covariance matrix in the Greek equity market
Vortelinos, Dimitrios I. - In: Research in international business and finance 27 (2013), pp. 66-79
Persistent link: https://www.econbiz.de/10009708102