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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
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Re-examining the risk-return relationship in Europe : linear or non-linear trade-off?
Salvador, Enrique; Floros, Christos; Aragó Manzana, Vicent - In: Journal of empirical finance 28 (2014), pp. 60-77
Persistent link: https://www.econbiz.de/10011284508
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GARCH Models with Long Memory and Nonparametric Specifications
Conrad, Christian - 2006
Persistent link: https://www.econbiz.de/10003402366
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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter
Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973
Persistent link: https://www.econbiz.de/10011860929
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The spillover effect on the CEE equity markets and the financial contagion In the context of financial integration
Boghicevici, Claudia; Stamule, Simona; Lolea, Iulian Cornel - In: Romanian journal of economic forecasting 24 (2021) 4, pp. 155-170
Persistent link: https://www.econbiz.de/10013407269
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Empirical analysis of the EU term structure of interest rates
Kotchlamazashvili, Zurab - 2014
Persistent link: https://www.econbiz.de/10010475329
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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European markets’ reactions to exogenous shocks : a high frequency data analysis of the 2005 London bombings
Kollias, Chrēstos; Papadamou, Stephanos; Siriopoulos, … - In: International Journal of Financial Studies : open … 1 (2013) 4, pp. 154-167
indicate that the volatility of stock market returns is increased in all cases examined. …
Persistent link: https://www.econbiz.de/10010243563
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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184
Persistent link: https://www.econbiz.de/10010403630
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …
Persistent link: https://www.econbiz.de/10011296114