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Measuring time-varying financial market integration : an unobserved components approach

Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473

Persistent link: https://www.econbiz.de/10009705640

Doubly multiplicative error models with long- and short-run components

Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014528556

Gold and US money demand

Azar, Samih Antoine - In: Economics and Business Letters : EBL 7 (2018) 3, pp. 108-114

Persistent link: https://www.econbiz.de/10012129126

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail … financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …

Persistent link: https://www.econbiz.de/10012805838

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 …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

Persistent link: https://www.econbiz.de/10012629944