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Influence of structural changes in transmission of information between stock markets : a European empirical study
Aragó-Manzana, Vicent; Ángeles Fernández-Izquierdo, Maria - In: Journal of multinational financial management 17 (2007) 2, pp. 112-124
Persistent link: https://www.econbiz.de/10003441959
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Incorporating correlation regimes in an integrated stressed risk modeling process
Aragonés, José R.; Blanco, Carlos - In: Journal of economics and finance 32 (2008) 2, pp. 148-157
Persistent link: https://www.econbiz.de/10003710731
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The efficiency of CAC stock price forecasts : a survey based perspective
Fraser, Patricia; MacDonald, Ronald - 1992
Persistent link: https://www.econbiz.de/10000139393
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Taking into account extreme events in European option pricing
Idier, Julien; Jardet, Caroline; LeFol, Gaëlle; … - In: Financial stability review : FSR 12 (2008), pp. 39-51
Persistent link: https://www.econbiz.de/10003772089
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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The distribution of realized variances : marginal behaviors, asymmetric dependence and contagion effects
Ané, Thierry; Métais, Carole - In: International review of financial analysis 18 (2009) 3, pp. 134-150
Persistent link: https://www.econbiz.de/10003880027
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Are daily stock price indices in the major European equity market cointegrated? : tests and evidence
Kasibhatla, Krishna Moorti; Stewart, David B.; Sen, Swapan - In: The American economist : journal of Omnicron Delta … 50 (2006) 2, pp. 47-57
Persistent link: https://www.econbiz.de/10003429409
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Risk reduction using wavelets for denoising principal-components regression models
Ammou, Salwa Ben; Kacem, Zied; Haouas, Nabiha - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 180-203
Persistent link: https://www.econbiz.de/10003953363
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Are international stock returns predictable? : An examination of linear and non-linear pridictability using generalized spectral tests
McPherson, Matthew Q.; Palardy, Joseph - In: Journal of international financial markets, … 17 (2007) 5, pp. 452-464
Persistent link: https://www.econbiz.de/10003609496
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Modeling asset returns : a comparison of theoretical and empirical models
Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version
This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...
Persistent link: https://www.econbiz.de/10003670896