Narrow search
Showing 1 - 7 of 7
Cover Image
Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
Cover Image
Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …
Persistent link: https://www.econbiz.de/10012621564
Cover Image
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Cover Image
Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409
Persistent link: https://www.econbiz.de/10014311645
Cover Image
Forecasting realized US stock market volatility : is there a role for economic policy uncertainty?
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - 2024
Persistent link: https://www.econbiz.de/10014505046
Cover Image
Forecasting gold returns volatility over 1258-2023 : the role of moments
Muddana, Thanoj K.; Bhimreddy, Komal S. R.; Majumdar, … - 2024
Persistent link: https://www.econbiz.de/10014536233
Cover Image
Forecasting stock returns volatility of the G7 over centuries : the role of climate risks
Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024
Persistent link: https://www.econbiz.de/10014553267