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The securities-correlation risks and the volatility effects in the Japanese stock market
Sakamaki, Satoshi - In: Public policy review 9 (2013) 3, pp. 531-552
Persistent link: https://www.econbiz.de/10010190442
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How informative are variance risk premium and implied volatility for Value-at-Risk prediction? : international evidence
Slim, Skander; Dahmene, Meriam; Boughrara, Adel - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 22-37
Persistent link: https://www.econbiz.de/10012417081
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Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model
Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10014304236
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
Persistent link: https://www.econbiz.de/10001788591
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Parametric Value-at-Risk analysis : evidence from stock indices
Mabrouk, Samir; Saadi, Samir - In: The quarterly review of economics and finance : journal … 52 (2012) 3, pp. 305-321
Persistent link: https://www.econbiz.de/10009683550
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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia
Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15
We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …
Persistent link: https://www.econbiz.de/10013397677
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Modelling volatility spillovers from the US equity market to ASEAN stock markets
Xuan Vinh Vo; Tran Thi Tuan Anh - In: Pacific-Basin finance journal 59 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012231221
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State dependent correlation and lead-lag relation when volatility of markets is large : evidence from the US and Asian emerging markets
Huang, Bwo-nung; Sohng, Soong-nark; Yang, Chin-wei - In: Journal of economic development 24 (1999) 2, pp. 57-77
Persistent link: https://www.econbiz.de/10001468679
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The stochastic volatility on mean model : empirical evidence from international stock markets
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
Persistent link: https://www.econbiz.de/10001472890