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Risk analysis of world major stock index before and after the 2008 financial crisis : based on GARCH-VaR approach
Wu, Maoguo; Wang, Yanyuan - In: International journal of financial research 9 (2018) 2, pp. 39-54
Persistent link: https://www.econbiz.de/10012236540
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Islamic stocks, conventional stocks, and crude oil : directional volatility spillover analysis in BRICS
Hassan, Kamrul; Hoque, Ariful; Wali, Muammer; Gasbarro, … - In: Energy economics 92 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012520036
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Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period
Ghorbel, Achraf; Jeribi, Ahmed - In: Eurasian economic review : a journal in applied … 11 (2021) 3, pp. 449-467
Persistent link: https://www.econbiz.de/10012616018
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Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets
Korkusuz, Burak; McMillan, David G.; Kambouroudis, Dimos - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1517-1537
Persistent link: https://www.econbiz.de/10014253685
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Global financial stress index and long-term volatility forecast for international stock markets
Liang, Chao; Luo, Qin; Li, Yan; Luu Duc Toan Huynh - In: Journal of international financial markets, … 88 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014482967
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Intra-daily volatility spillovers in international stock markets
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114
Persistent link: https://www.econbiz.de/10011475912
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Nonparametric forward-looking value-at-risk
Nossman, Marcus; Vilhelmsson, Anders - In: Journal of risk 16 (2013/2014) 4, pp. 103-123
Persistent link: https://www.econbiz.de/10013262928
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Can Skewed GARCH-Type Distributions Improve Volatility Forecasts During Global Financial Crisis?
Yang, Jack J.W. - 2017
volatility model, the use the GW test pairing for comparing volatility forecasts of skewed and non-skewed error distributions … the same volatility model, the comparison of six different error distribution functions for volatility forecast showed no … consistent result. In addition to the APARCH model with skewed Student-t distribution, the remaining results favored in nonskewed …
Persistent link: https://www.econbiz.de/10012946870
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Modeling the dependence structure between default risk premium, equity return volatility and the jump risk : evidence from a financial crisis
Naifar, Nader - In: Economic modelling 29 (2012) 2, pp. 119-131
Persistent link: https://www.econbiz.de/10009536052