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Commodity volatility breaks
Vivian, Andrew; Wohar, Mark E. - In: Journal of international financial markets, … 22 (2012) 2, pp. 395-422
Persistent link: https://www.econbiz.de/10009581694
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What drives the stock market return in India? : an exploration with dynamic factor model
Mukherjee, Paramita; Roy, Malabika - In: Journal of emerging market finance 15 (2016) 1, pp. 119-145
Persistent link: https://www.econbiz.de/10011489360
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The volatility structure of oil futures market returns : an empirical investigation
Lian, Yu-Min; Liao, Szu-Lang - In: Investment management and financial innovations 12 (2015) 2, pp. 16-25
Persistent link: https://www.econbiz.de/10011500134
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Bitcoin's innovative aspects, return volatility and uncertainty shocks
Frascaroli, Bruno Ferreira - In: International Journal of Financial Markets and … 7 (2020) 3, pp. 224-245
Persistent link: https://www.econbiz.de/10012510290
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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions
Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
returns fall sharply; (2) it rises as the stock market volatility increases; (3) it also rises when general financial market …
Persistent link: https://www.econbiz.de/10012022330
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Long-term dependency structure and structural breaks : evidence from the U.S. sector returns and volatility
Ngene, Geoffrey; Mungai, Ann Nduati; Lynch, Allen K. - In: Review of Pacific Basin financial markets and policies 21 (2018) 2, pp. 1-38
Persistent link: https://www.econbiz.de/10011865593
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How are structural breaks related to stock return volatility persistence? : evidence from China and Japan
Tsuji, Chikashi - In: Modern economy 9 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10011958946
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Structural breaks and volatility spillovers : the case of the US and Canadian Stock Markets
Tsuji, Chikashi - In: Journal of management research 11 (2019) 2, pp. 30-44
Persistent link: https://www.econbiz.de/10011993943
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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The impact of sentiment on commodity return and volatility
Maghyereh, Aktham I.; Abdoh, Hussein; Al-Shboul, Mohammad - In: Review of Pacific Basin financial markets and policies 23 (2020) 4, pp. 2050034-1-2050034-34
Persistent link: https://www.econbiz.de/10012496992