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Spillover effects between US and major European stock markets

Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184

Persistent link: https://www.econbiz.de/10010403630

Univariate and multivariate GARCH models applied to Bitcoin futures option pricing

Venter, Pierre J.; Maré, E. - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

are compared to market prices to give an indication of the pricing performance. In addition, a multivariate Bitcoin …

Persistent link: https://www.econbiz.de/10012588206

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272

Volatility spillover effects in interbank money markets

Ribeiro, Pedro Pires; Curto, José Dias - In: Review of world economics 153 (2017) 1, pp. 105-136

Persistent link: https://www.econbiz.de/10011889317

Hedging and diversification across commodity assets

Abid, Ilyes; Dhaoui, Abderrazak; Goutte, Stéphane; … - In: Applied economics 52 (2020) 23, pp. 2472-2492

Persistent link: https://www.econbiz.de/10012210890

Bringing the cognitive revolution forward : what can team cognition contribute to our understanding of leadership?

Toader, Andra F.; Martin, Robin - In: The leadership quarterly : LQ ; an international … 34 (2023) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10014282580

Modelling financial transaction price movements : a dynamic integer count data model

Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825

Persistent link: https://www.econbiz.de/10003233759

Time-varying parameter models for discrete valued time series

Lit, Rutger - 2016

Persistent link: https://www.econbiz.de/10011415304

Taming volatile high frequency data with long lag structure : an optimal filtering approach for forecasting

Drechsel, Dirk; Neuwirth, Stefan - 2016 - Preliminary version

We propose a Bayesian optimal filtering setup for improving out-of-sample forecasting performance when using volatile …

Persistent link: https://www.econbiz.de/10011490594