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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
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Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng - In: Journal of risk : JOR 25 (2023) 3, pp. 77-127
Persistent link: https://www.econbiz.de/10014487093
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The effects of domestic and international news and volatility on integration of Chinese stock markets with international stock markets
Öztek, Mehmet Fatih; Öcal, Nadir - In: Empirical economics : a journal of the Institute for … 50 (2016) 2, pp. 317-360
Persistent link: https://www.econbiz.de/10011453995
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Conditional correlations and volatility links among gold, oil and Istanbul Stock Exchange sector returns
Gencer, Hatice Gaye; Kilic, Erdem - In: International journal of economics and financial issues … 4 (2014) 1, pp. 170-182
Persistent link: https://www.econbiz.de/10010520108
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Value at risk (VaR) analysis for fat tails and long memory in returns
Günay, Samet - In: Eurasian economic review : a journal in applied … 7 (2017) 2, pp. 215-230
Persistent link: https://www.econbiz.de/10011684346
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Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian - 2014
Persistent link: https://www.econbiz.de/10011788857
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International stock return co-movements and trading activity
Sheng, Xin; Brzeszczyński, Janusz; Ibrahim, Boulis Maher - In: Finance research letters 23 (2017), pp. 12-18
Persistent link: https://www.econbiz.de/10011808297
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Examining mean-volatility spillovers across national stock markets
Natarajan, Vinodh Kesavaraj; Singh, Azariah Robert Raja; … - In: Journal of economics, finance & administrative science 19 (2014) 36, pp. 55-62
study we investigate the mean-volatility spillover effects that happen across international stock markets. The study, by … taking into consideration the stock market returns based on various indices, investigates the mean-volatility spillover … precise and separate measures of return spillovers and volatility spillovers. The analysis provides the evidence of strong …
Persistent link: https://www.econbiz.de/10011872506
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Determinants of idiosyncratic volatility : evidence from the Indian stock market
Kumari, Jyoti; Mahakud, Jitendra; Hiremath, Gourishankar S. - In: Research in international business and finance 41 (2017), pp. 172-184
Persistent link: https://www.econbiz.de/10011912999