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~subject:"Quantile risk measures"
~subject:"Volatility"
~subject:"conditional and unconditional moments"
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Quantile risk measures
Volatility
conditional and unconditional moments
GARCH
2,435
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770
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448
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Malik, Farooq
12
Gupta, Rangan
11
Engle, Robert F.
7
McAleer, Michael
7
Walther, Thomas
7
Chevallier, Julien
6
Klein, Tony
6
Mittnik, Stefan
6
Paolella, Marc S.
6
Sévi, Benoît
6
Alexander, Carol
5
Bouri, Elie
5
Floros, Christos
5
Manera, Matteo
5
Maré, E.
5
Tiwari, Aviral Kumar
5
Wilmot, Neil A.
5
Aggarwal, Vaibhav
4
Bauwens, Luc
4
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4
Choudhry, Taufiq
4
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4
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4
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4
Ding, Yashuang
4
Dumitriu, Ramona
4
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4
Karali, Berna
4
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4
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4
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4
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4
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4
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4
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4
Segnon, Mawuli
4
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4
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4
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4
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
18
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Université Paris-Dauphine
1
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1
eSocialSciences
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Applied economics
18
Energy economics
18
MPRA Paper
18
The North American journal of economics and finance : a journal of financial economics studies
16
Finance research letters
14
Journal of risk and financial management : JRFM
13
Economics letters
12
Journal of banking & finance
12
Research in international business and finance
12
International review of economics & finance : IREF
11
Journal of econometrics
11
Journal of empirical finance
10
Cogent economics & finance
9
International review of financial analysis
9
International journal of economics and finance
8
Discussion paper / Tinbergen Institute
7
Finance India : the quarterly journal of Indian Institute of Finance
7
Journal of international financial markets, institutions & money
7
CBN journal of applied statistics
6
International journal of financial research
6
Journal of economics and finance
6
Review of quantitative finance and accounting
6
Risks : open access journal
6
Working paper
6
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Applied economics letters
5
Cambridge working papers in economics
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Econometrics : open access journal
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Economic modelling
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Financial innovation : FIN
5
International Journal of Financial Studies : open access journal
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Journal of Asian finance, economics and business : JAFEB
5
The European journal of finance
5
The empirical economics letters : a monthly international journal of economics
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Theoretical economics letters
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Afro-Asian Journal of Finance and Accounting : AAJFA
4
Economies : open access journal
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
738
RePEc
86
EconStor
14
Other ZBW resources
8
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1
On the devolatised returns and dynamic conditional correlations
GARCH
modelling in selected European indices
Stavroyiannis, Stavros
;
Zarangas, Leonidas P.
- In:
Global business & economics review
17
(
2015
)
3
,
pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
Saved in:
2
Africa stock markets cross-market linkages : a time-varying Dynamic Conditional Correlations (DCC-
GARCH
) approach
Marozva, Godfrey
- In:
The journal of applied business research
33
(
2017
)
2
,
pp. 321-328
Persistent link: https://www.econbiz.de/10011673887
Saved in:
3
Dynamics between North American and European agricultural futures prices during turmoil and financialization
Adämmer, Philipp
;
Bohl, Martin T.
;
Ledebur, Oliver von
- In:
Bulletin of economic research
69
(
2017
)
1
,
pp. 57-76
Persistent link: https://www.econbiz.de/10011743063
Saved in:
4
What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis
Min, Hong-ghi
;
McDonald, Judith Ann
;
Shin, Sang-Ook
- In:
Annals of economics and finance
17
(
2016
)
2
,
pp. 365-402
Persistent link: https://www.econbiz.de/10011656925
Saved in:
5
Comovement, liquidity and asymmetries
Xiong, James X.
- In:
Journal of investment management : JOIM
19
(
2021
)
1
,
pp. 90-108
Persistent link: https://www.econbiz.de/10012814373
Saved in:
6
What causes the asymmetric correlation in stock returns?
Chung, Y. Peter
;
Hong, Hyun A.
;
Kim, S. Thomas
- In:
Journal of empirical finance
54
(
2019
),
pp. 190-212
Persistent link: https://www.econbiz.de/10012174849
Saved in:
7
Asymmetric correlation as an explanation for the effect of asset skewness on equity returns
Chung, Y. Peter
;
Kim, Thomas S.
- In:
Asia-Pacific journal of financial studies
46
(
2017
)
5
,
pp. 686-699
Persistent link: https://www.econbiz.de/10011779392
Saved in:
8
Determinants of stock market comovements among US and emerging economies during the US financial crisis
Hwang, Eugene
;
Min, Hong-ghi
;
Kim, Bonghan
;
Kim, Hyeongwoo
- In:
Economic modelling
35
(
2013
),
pp. 338-348
Persistent link: https://www.econbiz.de/10010259814
Saved in:
9
A study of volatility spillover across select foreign exchange rates in India using dynamic conditional correlations
Patnaik, Anuradha
- In:
Journal of quantitative economics : official journal of …
11
(
2013
)
1/2
,
pp. 28-47
Persistent link: https://www.econbiz.de/10010338354
Saved in:
10
Similarity of emerging market returns under changing market conditions : markets in the ASEAN-4, Latin America, Middle East, and BRICs
Lyócsa, Štefan
;
Baumöhl, Eduard
- In:
Economic systems
39
(
2015
)
2
,
pp. 253-268
Persistent link: https://www.econbiz.de/10011527515
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