Narrow search
Showing 1 - 10 of 1,058
Cover Image
Asymmetric risk and return : evidence from the Australian Stock Exchange
Vo, Minh T.; Cohen, Michael; Boulter, Terry - In: Pacific-Basin finance journal 35 (2015) 2, pp. 558-573
Persistent link: https://www.econbiz.de/10011543740
Cover Image
Return and volatility linkages among G-7 and selected emerging markets
Bhuyan, Rafiq; Elian, Mohammad I.; Bagnied, Mohsen; … - In: International journal of economics and finance 7 (2015) 6, pp. 153-165
Persistent link: https://www.econbiz.de/10011335029
Cover Image
The HESSIAN method for models with leverage-like effects
Djegnéné, Barnabé; McCausland, William J. - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 722-755
Persistent link: https://www.econbiz.de/10011339247
Cover Image
A triple-threshold leverage stochastic volatility model
Wu, Xin-Yu; Zhou, Hai-Lin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 483-500
Persistent link: https://www.econbiz.de/10011339413
Cover Image
A new variant of estimation approach to asymmetric stochastic volatility model
Men, Zhongxian; Wirjanto, Tony S. - In: Quantitative finance and economics 2 (2018) 2, pp. 325-347
Persistent link: https://www.econbiz.de/10012156644
Cover Image
Testing for a unit root in the presence of stochastic volatility and leverage effect
Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038
Persistent link: https://www.econbiz.de/10009666985
Cover Image
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 178 (2014) 1, pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
Cover Image
Approximate pricing formula to capture leverage effect and stochastic volatility of a financial asset
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: Finance research letters 44 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014494891
Cover Image
Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.; Zerilli, Paola; Chen, Liyuan - In: Energy economics 93 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Cover Image
Does the financial leverage effect depend on volatility regimes?
Chon, Sora; Kim, Jaeho - In: Finance research letters 39 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012805319