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Asymmetric risk and return : evidence from the Australian Stock Exchange
Vo, Minh T.; Cohen, Michael; Boulter, Terry - In: Pacific-Basin finance journal 35 (2015) 2, pp. 558-573
Persistent link: https://www.econbiz.de/10011543740
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Return and volatility linkages among G-7 and selected emerging markets
Bhuyan, Rafiq; Elian, Mohammad I.; Bagnied, Mohsen; … - In: International journal of economics and finance 7 (2015) 6, pp. 153-165
Persistent link: https://www.econbiz.de/10011335029
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A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
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A new variant of estimation approach to asymmetric stochastic volatility model
Men, Zhongxian; Wirjanto, Tony S. - In: Quantitative finance and economics 2 (2018) 2, pp. 325-347
Persistent link: https://www.econbiz.de/10012156644
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The leverage effect puzzle : the case of European sovereign credit default swap market
Kliber, Agata - In: Review of derivatives research 19 (2016) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10011927969
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Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012649885
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
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Estimating general equilibrium models with stochastic volatility and changing parameters
Higgins, C. Richard - In: Economic modelling 66 (2017), pp. 163-170
Persistent link: https://www.econbiz.de/10011813705
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Modeling changes in US monetary policy with a time-varying nonlinear Taylor rule
Nguyen, Anh D. M.; Pavlidis, Efthymios G.; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-16
Persistent link: https://www.econbiz.de/10011966001