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Speculative bubbles and contagion : analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Herwarth Kohn, Maximilian-Benedikt; Pereira, Pedro L. Valls - In: Cogent economics & finance 5 (2017) 1, pp. 1-28

Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed as on one hand as an econometrics explanation and on the other...

Persistent link: https://www.econbiz.de/10011887512

Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China

Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804

Persistent link: https://www.econbiz.de/10012416088

Causality between stock volatility and macroeconomic volatilities in Taiwan

Chen, Yenpao - 1999

Persistent link: https://www.econbiz.de/10001506368

A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits

Wei, K. C. John; Chiang, Raymond - In: Pacific-Basin finance journal 12 (2004) 4, pp. 445-461

Persistent link: https://www.econbiz.de/10002145026

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Modeling stock volatility with trading information

Li, Huirong; Yang, Jian - 1999

Persistent link: https://www.econbiz.de/10001455778

Returns in commodities futures markets and financial speculation : a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

Persistent link: https://www.econbiz.de/10009535531

Returns in Commodities Futures Markets and Financial Speculation : A Multivariate GARCH Approach

Manera, Matteo - 2013

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in …

Persistent link: https://www.econbiz.de/10013091156

Navigating the oil bubble : a non-linear heterogeneous-agent dynamic model of futures oil pricing

Cifarelli, Giulio; Paesani, Paolo - In: The energy journal 42 (2021) 5, pp. 101-122

Persistent link: https://www.econbiz.de/10013170656

Tail risk of equity returns

Sun, Pengfei - 2013

Persistent link: https://www.econbiz.de/10010191614

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