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Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

Financial market volatility is an important element when setting up port- folio management strategies, option pricing and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for the period of October 1999 to June 2011 are studied using...

Persistent link: https://www.econbiz.de/10011306093

World gold prices and stock returns in China : insights for hedging and diversification strategies

Arouri, Mohamed; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic modelling 44 (2015), pp. 273-282

Persistent link: https://www.econbiz.de/10011326226

Abrupt changes in volatility : evidence from TEPIX Index in Tehran stock exchange

Araghi, Mansour Khalili; Ghazani, Majid Mirzaee - In: Iranian economic review : journal of University of Tehran 19 (2015) 3, pp. 377-393

Persistent link: https://www.econbiz.de/10011456700

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

Risk perception and equity returns : evidence from the SPX and VIX

Gang, Jianhua; Li, Xiang - In: Bulletin of economic research 66 (2014) 1, pp. 20-44

Persistent link: https://www.econbiz.de/10010399417

Measuring value at risk on emerging stock markets : empirical evidence from Serbian stock exchange

Miletić, Mirjana; Miletić, Siniša - In: Facta Universitatis / Series economics and organization … 10 (2013) 1, pp. 25-37

Persistent link: https://www.econbiz.de/10010458744

Structural breaks and GARCH models of stock return volatility : the case of South Africa

Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - In: Economic modelling 29 (2012) 6, pp. 2435-2443

Persistent link: https://www.econbiz.de/10009673703

Performance and conservatism of monthly FHS VaR : an international investigation

Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-333

Persistent link: https://www.econbiz.de/10009272652

Testing the mixture of distributions hypothesis on target stocks

Carroll, Rachael; Kearney, Colm - In: Journal of international financial markets, … 39 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011475222

The volatility of Romanian exchange rate : a GARCH approach

Pelinescu, Elena; Diaconaşu, Delia-Elena - In: Review of economics & finance 5 (2015) 4, pp. 92-99

Persistent link: https://www.econbiz.de/10011411168