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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76
Persistent link: https://www.econbiz.de/10011377303
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Bayesian analysis of a threshold stochastic volatility model
Wirjanto, Tony S.; Kolkiewicz, Adam W.; Men, Zhongxian - In: Journal of forecasting 35 (2016) 5, pp. 462-476
Persistent link: https://www.econbiz.de/10011580989
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A new variant of estimation approach to asymmetric stochastic volatility model
Men, Zhongxian; Wirjanto, Tony S. - In: Quantitative finance and economics 2 (2018) 2, pp. 325-347
Persistent link: https://www.econbiz.de/10012156644
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Implied volatility surfaces during the period of global financial crisis
Wirjanto, Tony S.; Zhu, Anyi - In: International journal of financial engineering 5 (2018) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011922944
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Is volatility clustering of asset returns asymmetric?
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2014
Persistent link: https://www.econbiz.de/10011382186
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Modeling the leverage effect with copulas and realized volatility
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Finance research letters 5 (2008) 4, pp. 221-227
Persistent link: https://www.econbiz.de/10003786354
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An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility
Xu, Dinghai; Wirjanto, Tony S. - 2008
Persistent link: https://www.econbiz.de/10003975377
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Modeling asymmetric volatility clusters using Copulas and high frequency data
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2010
Persistent link: https://www.econbiz.de/10003975430
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Modeling asymmetric volatility clusters using copulas and high frequency data
Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - 2009
Persistent link: https://www.econbiz.de/10008758211
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Is China's P/E ratio too low? : examining the role of earnings volatility
Huang, Alan Guoming; Wirjanto, Tony S. - In: Pacific-Basin finance journal 20 (2012) 1, pp. 41-61
Persistent link: https://www.econbiz.de/10009629179