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Estimating downside risk in stock returns under structural breaks

Hood, Matthew; Malik, Farooq - In: International review of economics & finance : IREF 58 (2018), pp. 102-112

Persistent link: https://www.econbiz.de/10012034196

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Volatility spillovers between oil prices and the stock market under structural breaks

Ewing, Bradley T.; Malik, Farooq - In: Global finance journal 29 (2016), pp. 12-23

Persistent link: https://www.econbiz.de/10011714558

Breaks and outliers when modelling the volatility of the U.S. stock market

Chatzikonstanti, Vasiliki - In: Applied economics 49 (2017) 46, pp. 4704-4717

Persistent link: https://www.econbiz.de/10011844777

Volatility spillover among sector equity returns under structural breaks

Malik, Farooq - In: Review of quantitative finance and accounting 58 (2022) 3, pp. 1063-1080

Persistent link: https://www.econbiz.de/10013191782

Stock market volatility: Identifying major drivers and the nature of their impact

Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011543844

Empirical safety stock estimation based on kernel and GARCH models

Trapero, Juan R.; Cardós, Manuel; Kourentzes, Nikolaos - In: Omega : the international journal of management science 84 (2018), pp. 199-211

Persistent link: https://www.econbiz.de/10011993170

Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model

Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45

Persistent link: https://www.econbiz.de/10011588077

Testing volatility in Nigeria stock market using GARCH models

Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93

forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect …The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model …

Persistent link: https://www.econbiz.de/10011489480

Comparison of GARCH and ANN model for forecasting volatility : Evidence based on Indian stock markets

Shaik, Muneer; Sejpal, Aditya - In: The journal of prediction markets 14 (2020) 2, pp. 103-121

Persistent link: https://www.econbiz.de/10012667736

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