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Oil price and Gulf Corporation Council stock indices : new evidence from time-varying copula models
Fenech, Jean-Pierre; Vosgha, Hamed - In: Economic modelling 77 (2019), pp. 81-91
Persistent link: https://www.econbiz.de/10012198426
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Comovement of fear index, stock returns, brent oil prices in BRIC countries : the case of COVID-19
Sharma, Sakshi; Malik, Kunjana - In: The Indian economic journal 70 (2022) 4, pp. 559-576
Persistent link: https://www.econbiz.de/10013475299
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Jump, non-normal error distribution and stock price volatility : a nonparametric specification test
Rahman, Mohammad Masudur; Ara, Laila Arjuman; Zheng, … - In: The Singapore economic review : journal of the Economic … 54 (2009) 1, pp. 101-121
Persistent link: https://www.econbiz.de/10003851283
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A comparison of tail behaviour of stock market returns
Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
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Evaluating density forecasts from models of stock market returns
Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166
Persistent link: https://www.econbiz.de/10002841826
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
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Jump, Non-Normal Error Distribution and Stock Price Volatility - A Nonparamedic Specification Test
Rahman, Mohammad Masudur - 2010
the estimation, we find that the volatility of the return and the jump probability were significantly higher after 27 …
Persistent link: https://www.econbiz.de/10013150381
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Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F. - 2017
provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …
Persistent link: https://www.econbiz.de/10012976219
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
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Empirical Study of Tail Distributions of Multi-Day Index Returns
Roos, Thomas - 2021
We study the tail distributions of multi-day index returns across a variety of asset classes. Fitting power laws to the tail distributions, we find tail indices in the range [2-4] for all underlyings, for returns up to 250 days. We also find that the power laws can not be statistically ruled out...
Persistent link: https://www.econbiz.de/10013249954