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The importance of belief dispersion in the response of gold futures to macroeconomic announcements

Smales, Lee A.; Yang, Yi - In: International review of financial analysis 41 (2015), pp. 292-302

Persistent link: https://www.econbiz.de/10011508993

Eross, Andrea; McGroarty, Frank; Urquhart, Andrew; … - In: Research in international business and finance 49 (2019), pp. 71-81

Persistent link: https://www.econbiz.de/10012135993

Risk model validation : an intraday VaR and ES approach using the multiplicative component GARCH

Summinga-Sonagadu, Ravi; Narsoo, Jason - In: Risks : open access journal 7 (2019) 1/10, pp. 1-23

In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...

Persistent link: https://www.econbiz.de/10012018629

Asymmetric volatility in equity markets around the world

Horpestad, Jone B.; Lyócsa, Štefan; Molnár, Peter; … - In: The North American journal of economics and finance : a … 48 (2019), pp. 540-554

Persistent link: https://www.econbiz.de/10012120304

Estimation of volatility in a high-frequency setting : a short review

Jacod, Jean - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 351-385

Persistent link: https://www.econbiz.de/10012127222

A realized volatility approach to option pricing with continuous and jump variance components

Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 639-664

Persistent link: https://www.econbiz.de/10012127296

Currency risk : comovements and intraday cojumps

Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76

Persistent link: https://www.econbiz.de/10011592734

Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework

Smales, Lee A.; O'Grady, Barry; Yang, Yi - In: Applied economics letters 22 (2015) 7/9, pp. 710-716

Persistent link: https://www.econbiz.de/10010530036

System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies

Gnabo, Jean-Yves; Hvozdyk, Lyudmyla; Lahaye, Jérôme - In: Journal of international money and finance 48 (2014), pp. 147-174

Persistent link: https://www.econbiz.de/10010464002

A jump and smile ride : jump and variance risk premia in option pricing

Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157

Persistent link: https://www.econbiz.de/10012180409

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