Similar Search Results

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

A heuristic for fat-tailed stock market returns

Welch, Ivo - In: Financial analysts journal : FAJ 80 (2024) 4, pp. 18-26

Persistent link: https://www.econbiz.de/10015195218

Predictive recursion maximum likelihood of threshold autoregressive model

Pathairat Pastpipatkul; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 349-362). 2017

Persistent link: https://www.econbiz.de/10011801427

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

Comparison of alternative ACD models via density and interval forecasts : evidence from the Australian stock market

Allen, David E.; Lazarov, Zdravetz N.; McAleer, Michael; … - 2007

Persistent link: https://www.econbiz.de/10003477122

The pareto stable distribution as a hypothesis for returns of stocks listed in the DAX

Höchstötter, Markus - 2006

Persistent link: https://www.econbiz.de/10003354675

COAALA : a novel approach to understanding extreme stock-bond comovement

Allard, Anne-Florence; Hanbali, Hamza; Smedts, Kristien - In: Journal of financial econometrics 22 (2024) 5, pp. 1532-1557

Persistent link: https://www.econbiz.de/10015338817

On modelling and forecasting predictable components in European stock markets

Kiani, Khurshid M. - In: Computational economics 48 (2016) 3, pp. 487-502

Persistent link: https://www.econbiz.de/10011712528

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

Measuring and testing tail dependence and contagion risk between Major stock markets

Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10011762384