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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Exchange rate disconnect and the general equilibrium puzzle
Chen, Yu-chin; Fujiwara, Ippei; Hirose, Yasuo - 2021 - This version: September 2021
Persistent link: https://www.econbiz.de/10012664096
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The volatility risk premium in the oil market
Bouchouev, Ilia; Johnson, Brett - In: Quantitative finance 22 (2022) 8, pp. 1561-1578
Persistent link: https://www.econbiz.de/10013367929
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Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española
Chuliá, Helena (contributor); Torró, Hipòlit (contributor) - 2006
Persistent link: https://www.econbiz.de/10003328898
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Modeling time varying volatility and asymmetry of Karachi Stock Exchange (KSE)
Saleem, Kashif - In: International journal of economic perspectives : IJEP 1 (2007) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10003983728
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Asimetrías en volatilidad, beta y contagios entre las empresas grandes y pequeñas cotizadas en la bolsa española
Chuliá, Helena; Torró, Hipòlit - In: Investigaciones económicas 31 (2007) 3, pp. 445-474
Persistent link: https://www.econbiz.de/10003751062
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Volatility spillovers and the price of risk : evidence from the Swiss stock market
Jochum, Christian - In: Empirical economics : a journal of the Institute for … 24 (1999) 2, pp. 303-322
Persistent link: https://www.econbiz.de/10001388902
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Crude Oil Prices, Risk Preferences, and Intertemporal Variation in Market Expected Returns : Empirical Evidence from the Nigerian Stock Exchange (NSE)
Obrimah, Oghenovo A. - 2019
This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...
Persistent link: https://www.econbiz.de/10012903916
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The impact of market-wide volatility on time-varying risk : evidence from Qatar stock exchange
Al Refai, Hisham M.; Hassan, Gazi M. - In: Journal of emerging market finance 17 (2018), pp. 239-258
Persistent link: https://www.econbiz.de/10011925531