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Spatial dependence in stock returns : local normalization and VaR forecasts

Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109

Persistent link: https://www.econbiz.de/10011481381

Behaviour of stock return autocorrelation in the GCC stock markets

Chowdhury, Shah Saeed Hassan; Rahman, M. Arifur; … - In: Global business review 16 (2015) 5, pp. 737-746

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Tail estimation and conditional modeling of heteroscedastic time-series

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

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Some relations between volatility and serial correlations in stock market returns

LeBaron, Blake Dean - In: The journal of business : B 65 (1992) 2, pp. 199-219

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Dynamic mixture models for financial time series

Haas, Markus - 2004 - 1. Aufl.

series, namely, mixed normal and Markov-switching GARCH models. In the second part of the study, we also consider …

Persistent link: https://www.econbiz.de/10002452594

Stochastische Abhängigkeiten in Aktienmarktzeitreihen : eine gleichgewichtstheoretische Erklärung

Schwaiger, Walter S. A. - 1994

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Tests of stochastic dominance for time series data : theory and empirical application

Kläver, Hendrik - 2006

bivariaten GARCH (1,1), der bezüglich Anpassung und Vorhersage gut für Finanzmarktdaten geeignet ist. Um einen Eindruck über den … inferenzstatistische Methoden für Erwartungswerte und Varianzen. Es zeigt sich, dass Varianzprozeduren durch GARCH (1,1) stark beeinflusst …

Persistent link: https://www.econbiz.de/10003315772

The pareto stable distribution as a hypothesis for returns of stocks listed in the DAX

Höchstötter, Markus - 2006

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A statistical analysis of the Colombo stock returns

Zhang, Zili; Nadarajah, Saralees - In: Global business review 22 (2021) 1, pp. 101-118

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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models

Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020

Persistent link: https://www.econbiz.de/10012435636

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