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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
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Tests of stochastic dominance for time series data : theory and empirical application
Kläver, Hendrik - 2006
bivariaten GARCH (1,1), der bezüglich Anpassung und Vorhersage gut für Finanzmarktdaten geeignet ist. Um einen Eindruck über den … inferenzstatistische Methoden für Erwartungswerte und Varianzen. Es zeigt sich, dass Varianzprozeduren durch GARCH (1,1) stark beeinflusst …
Persistent link: https://www.econbiz.de/10003315772
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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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Intensity of price and volatility spillover effects in Asia-Pacific basin equity markets
Abidin, Sazali; Reddy, Krishna; Zhang, Chun - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 3-18
Persistent link: https://www.econbiz.de/10010520433
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Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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Stock selection and timing ability of the Taiwan equity funds : the application of stochastic beta, GARCH, and nonlinear GLS
Goo, Yeong-Jia; Chang, Feng-Huei; Chiu, Kuo-Liang - In: Modern economy 6 (2015) 2, pp. 153-164
Persistent link: https://www.econbiz.de/10011286014
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Financial crises and the global value premium : revisiting Fama and French
Yamani, Ehab A.; Swanson, Peggy Eubanks - In: Journal of international financial markets, … 33 (2014), pp. 115-136
Persistent link: https://www.econbiz.de/10011299862
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011302625
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Measuring volatility persistence and risk in Southern and East African stock markets
Coffie, William - In: International journal of economics and business research 9 (2015) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10011332918
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Time-varying market price of risk and investor sentiment : evidence from a multivariate GARCH model
Johnk, David W.; Soydemir, Gökçe A. - In: The journal of behavioral finance : a publication of … 16 (2015) 2, pp. 105-119
Persistent link: https://www.econbiz.de/10011333691