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Evaluating value at risk using selection criteria of the model and the information set

Gargallo, Pilar; Miguel, Jesús; Olave Rubio, Pilar; … - In: Applied financial economics 20 (2010) 16/18, pp. 1415-1428

Persistent link: https://www.econbiz.de/10009010927

Contagion in banking due to BCCI's failure : evidence from national equity indices

Kanas, Angelos - In: International journal of finance & economics : IJFE 9 (2004) 3, pp. 245-255

Persistent link: https://www.econbiz.de/10002146007

The impact of stock index futures trading on daily returns seasonality : a multicountry study

Faff, Robert W.; McKenzie, Michael D. - In: The journal of business : B 75 (2002) 1, pp. 95-125

Persistent link: https://www.econbiz.de/10001641883

The effects of stock index futures trading on stock index volatility : an analysis of the asymmetric response of volatility to news

Antoniou, Antonios - In: The journal of futures markets 18 (1998) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10001239196

A study of risk and return in developed and emerging markets from a Canadian perspective

Mitra, Devashis - In: The Mid-Atlantic journal of business 34 (1998) 1, pp. 75-91

Persistent link: https://www.econbiz.de/10001246233

Influence of non-monetary information signals of the USA on the Ukrainian stock market volatility

Pavlov, Roman; Pavlova, Tetiana; Lemberg, Anna; … - In: Investment management and financial innovations 16 (2019) 1, pp. 319-333

Persistent link: https://www.econbiz.de/10012056175

The Warsaw Stock Exchange index WIG : modelling and forecasting

Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

Persistent link: https://www.econbiz.de/10010277059