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Month of the year effect and January effect in pre-WWI stock returns : evidence from a non-linear GARCH model
Choudhry, Taufiq - In: International journal of finance & economics : IJFE 6 (2001) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10001550186
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An investigation of bond term premia in international government bond indices
Halkos, George E.; Papadamou, Stephanos T. - In: Research in international business and finance 20 (2006) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10003374205
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Mean and variance equation dynamics : time deformation, GARCH, and a robust analysis of the London housing market
Cook, Steve; Watson, Duncan - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 304-318
Persistent link: https://www.econbiz.de/10011960361
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Expectations and risk premia at 8:30AM : macroeconomic announcements and the yield curve
Hördahl, Peter; Remolona, Eli M.; Valente, Giorgio - 2015
Persistent link: https://www.econbiz.de/10011437580
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Volatility linkage of nominal and index-linked bond returns : a multivariate BEKK-GARCH approach
Benlagha, Noureddine - In: Review of economics & finance (2014) 4, pp. 49-60
Persistent link: https://www.econbiz.de/10010471998
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Is there excess comovement of bond yields between countries?
Sutton, Gregory D. - In: Journal of international money and finance 19 (2000) 3, pp. 363-376
Persistent link: https://www.econbiz.de/10001485270
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Is there excess comovement of bond yields between countries?
Sutton, Gregory D. - 1997
Persistent link: https://www.econbiz.de/10013431821
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Consistent ranking of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009
Persistent link: https://www.econbiz.de/10003850918