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Modelling stock volatilities during financial crises : a time varying coefficient approach

Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128

Persistent link: https://www.econbiz.de/10011300501

Volatility spillover between exchange rate and stock returns under volatility shifts

Malik, Farooq - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 605-613

Persistent link: https://www.econbiz.de/10012655581

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

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

Structural change in the correlation, return and volatility spillovers : evidence from the oil, stock and exchange rate markets in the United States

Su, Jung-bin - In: Economic research 35 (2022) 1,6, pp. 6918-6944

Persistent link: https://www.econbiz.de/10014428554

Co-movement of international copper prices, China's economic activity, and stock returns : Structural breaks and volatility dynamics

Guo, Jin - In: Global finance journal 36 (2018), pp. 62-77

Persistent link: https://www.econbiz.de/10012125016

Structural breaks in volatility : the case of Chinese stock returns

Ni, Jinlan; Wohar, Mark E.; Wang, Beichen - In: The Chinese economy 49 (2016) 2, pp. 81-93

Persistent link: https://www.econbiz.de/10011619799

Extreme dependence between crude oil and stock markets in Asia-Pacific regions : evidence from quantile regression

Zhu, Huiming; Huang, Hui; Peng, Cheng; Yang, Yan - 2016

This paper investigates the extreme dependence between the Asia-Pacific stock markets and the international crude oil market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors obtain a more detailed result on the degree and...

Persistent link: https://www.econbiz.de/10011561029

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Modelling volatility spillovers, cross-market correlation and co-movements between stock markets in European Union : an empirical case study

Trivedi, Jatin; Spulbăr, Cristi; Birau, Ramona; … - In: Business, mangagement and economics engineering : BMEE 19 (2021) 1, pp. 70-90

Methodology - We propose to estimate and model volatility using GARCH family models for selected European markets. We aim to …Purpose - This article examines volatility spillovers, cross-market correlation, and comovements between selected … explore volatility movement, presence of leverage effect/ asymmetry in selected financial markets. Findings - The econometric …

Persistent link: https://www.econbiz.de/10012695346

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