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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Bayesian semiparametric multivariate stochastic volatility with application
Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970
Persistent link: https://www.econbiz.de/10012295590
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Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
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Long term vs. short term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien (contributor) - 2008
Persistent link: https://www.econbiz.de/10003796991
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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
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Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
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Long Term vs. Short Term Comovements in Stock Markets : The Use of Markov-Switching Multifractal Models
Idier, Julien - 2010
Empirical techniques to assess market comovements are numerous from cointegration to dynamic conditional correlations. This paper uses the fractal properties of asset returns and presents estimations of Markov switching multifractal models [as MSM] to give new insights about short and long run...
Persistent link: https://www.econbiz.de/10013138021
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The magnet effect under relaxed daily price limits : evidence from Taiwan
Chang, Ya-Kai; Chang, Che-Jui - In: The international journal of business and finance … 15 (2021) 1, pp. 33-44
Persistent link: https://www.econbiz.de/10012671308
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A dynamic integer count data model for financial transaction prices
Liesenfeld, Roman (contributor);  … - 2003
implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. …
Persistent link: https://www.econbiz.de/10002527884
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The determinants of a simultaneous crash in gold and stock markets : an ordered logit approach
Miyazaki, Takashi; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011900670