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Characterizing financial crises using high-frequency data
Dungey, Mardi H.; Holloway, Jet; Yalaman, Abdullah; … - In: Quantitative finance 22 (2022) 4, pp. 743-760
Persistent link: https://www.econbiz.de/10013367856
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Stock market volatility: Identifying major drivers and the nature of their impact
Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011543844
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Impact of the FII's Indian equity investment behavior on the BRIC countries' stock market volatility during the Subprime Crisis : an empirical investigation
Amanjot Singh; Kaur, Parneet - In: Journal of academic research in economics 6 (2014) 3, pp. 336-349
Persistent link: https://www.econbiz.de/10011348110
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Intertemporal risk-return relationship in BRIC equity markets after the US financial crisis
Amanjot Singh; Manjit Singh - In: International journal of law and management : IJLMA 25 (2017) 4, pp. 547-570
Persistent link: https://www.econbiz.de/10011776267
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - 2015
Persistent link: https://www.econbiz.de/10011632222
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Identification of asset price misalignments on financial markets with extreme value theory
Kadlcakova, Narcisa; Komárek, Luboš; Komarkova, Zlatuse; … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2595-2609
Persistent link: https://www.econbiz.de/10011675444
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Measuring black swans in financial markets
Manhire, J. T. - In: Journal of mathematical finance 8 (2018) 1, pp. 227-239
Persistent link: https://www.econbiz.de/10011846384
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How often is the financial market going to collapse?
Frahm, Gabriel - In: Quantitative finance and economics 2 (2018) 3, pp. 590-614
Persistent link: https://www.econbiz.de/10012156795
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Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122