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Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

Persistent link: https://www.econbiz.de/10003670896

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001945539

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T. - In: Asia-Pacific financial markets 5 (1998) 2, pp. 99-128

Persistent link: https://www.econbiz.de/10001372063

Unconditional and conditional distributional models for the Nikkei index

Mittnik, Stefan - 1997

Persistent link: https://www.econbiz.de/10000985609

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

Multivariate volatility forecasts for stock market indices

Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499

Persistent link: https://www.econbiz.de/10012792845

The asymmetric high-frequency volatility transmission across international stock markets

Luo, Jiawen; Wang, Shengquan - In: Finance research letters 31 (2019), pp. 104-109

Persistent link: https://www.econbiz.de/10012421222

Risk-return relationship for stock-market investments : a study of the implied volatility index of Japan (VXJ)

Narwal, Karam Pal; Sheera, Ved Pal; Mittal, Ruhee; … - In: South Asian journal of management : SAJM 25 (2018) 1, pp. 64-82

Persistent link: https://www.econbiz.de/10011888130

International Stock Return Differentials and Real Exchange Rate Changes

Malliaropulos, Dimitris - 2022

This article investigates the link between international stock return differentials relative to the US and deviations from relative Purchasing Power Parity. Assuming that the real exchange rate and the relative stock price between two countries contain both permanent and temporary components, we...

Persistent link: https://www.econbiz.de/10013491880

Are stock returns long term dependent? : Some empirical evidence

Jacobsen, Ben - In: Journal of international financial markets, … 5 (1995) 2/3, pp. 37-52

Persistent link: https://www.econbiz.de/10001507986

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