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Multivariate regimeswitching GARCH with an application to international stock markets

Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008

Persistent link: https://www.econbiz.de/10003651587

The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

domestic volatility after good shocks but a bad hedge after crashes …

Persistent link: https://www.econbiz.de/10003394353

The impact of shocks on higher moments

Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105

Persistent link: https://www.econbiz.de/10003826483

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model …. The model allows for asymmetric risk premia, causality and co-volatility spillovers jointly in the global bond markets …. Empirical results show significant asymmetric partial co-volatility spillovers and risk premium exist in the bond markets. The …

Persistent link: https://www.econbiz.de/10012422545