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Short-term interest rates volatility and liquidity risk
Caglio, Cecilia; Gabbi, Giampaolo; Zanotti, Giovanna - In: Stock market liquidity : implications for market …, (pp. 67-75). 2008
Persistent link: https://www.econbiz.de/10003650491
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Volatility and correlation forecasting
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...
Persistent link: https://www.econbiz.de/10003338446
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Portfolio diversification, leverage, and financial contagion
Schinasi, Garry J.; Smith, Richard Todd - 2007
Persistent link: https://www.econbiz.de/10003500744
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An economic approach to market risk
Hott, Christian - In: Financial crises, sovereign risk and the role of …, (pp. 157-168). 2013
Persistent link: https://www.econbiz.de/10011286727
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Global risk factor theory and risk scenario generation based on the Rogov-causality test of time series time-warped longest common subsequence
Rogov, Mikhail - In: Financial econometrics and empirical market microstructure, (pp. 263-278). 2015
Persistent link: https://www.econbiz.de/10011326620
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Estimating oil price value at risk using belief functions
Phochanachan, Panisara; Sirisrisakulchai, Jirakom; … - In: Econometrics of risk, (pp. 377-389). 2015
Persistent link: https://www.econbiz.de/10010498515
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The economic implications of volatility scaling by the square-root-of-time rule
Ellis, Craig; Sundmacher, Maike - In: Stock market volatility, (pp. 147-161). 2009
Persistent link: https://www.econbiz.de/10003830412
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Jumps and microstructure noise in stock price volatility
Sen, Rituparna - In: Stock market volatility, (pp. 163-177). 2009
Persistent link: https://www.econbiz.de/10003830417
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Cross-sectional return dispersions and risk in global equity markets
Chiang, Thomas C. - In: Stock market volatility, (pp. 361-376). 2009
Persistent link: https://www.econbiz.de/10003830590
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Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
Lu, Xun Fa; Lai, Kin Keung; Liang, Liang - In: Methods and applications in natural resources management, (pp. 333-357). 2014
Persistent link: https://www.econbiz.de/10010391496