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Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
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Conditional Autoregressive Range (CARR) based volatility spillover index for the Eurozone markets
Bayraci, Selcuk; Demiralay, Sercan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 595-603
Persistent link: https://www.econbiz.de/10010519718
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An empirical characterization of volatility dynamics in the DAX
Virla, Leonardo Quero - 2021
This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …
Persistent link: https://www.econbiz.de/10012629944
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Volatility spillovers in the dry bulk shipping markets
Raju, Totakura Bangar; Gupta, Rishabh; Singh, Abhijit - In: International journal of logistics economics and … 9 (2021) 1, pp. 58-79
Persistent link: https://www.econbiz.de/10012599132
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Another look at calendar anomalies
Chatzitzisi, Evanthia; Fountas, Stilianos; … - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 823-840
Persistent link: https://www.econbiz.de/10012655712
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The persistence and asymmetry of time-varying correlations
Baur, Dirk G. (contributor) - 2005
Persistent link: https://www.econbiz.de/10009232806
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Stylized facts of high-frequency financial time series data
Shakeel, Moonis; Srivastava, Bhavana - In: Global business review 22 (2021) 2, pp. 550-564
Persistent link: https://www.econbiz.de/10012520248
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Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market
Sobreira, Nuno; Louro, Rui - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430745
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A coupled component DCS-EGARCH model for intraday and overnight volatility
Linton, Oliver; Wu, Jianbin - In: Journal of econometrics 217 (2020) 1, pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
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Risk-reward trade-off and volatility performance of Islamic versus conventional stock indices : global evidence
Abu-Alkheil, Ahmad M.; Khan, Walayet A.; Parikh, Bhavik - In: Review of Pacific Basin financial markets and policies 23 (2020) 1, pp. 2050002-1-2050002-29
Persistent link: https://www.econbiz.de/10012299655