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Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …
Persistent link: https://www.econbiz.de/10012621564
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Forecasting realized US stock market volatility : is there a role for economic policy uncertainty?
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - 2024
Persistent link: https://www.econbiz.de/10014505046
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Forecasting gold returns volatility over 1258-2023 : the role of moments
Muddana, Thanoj K.; Bhimreddy, Komal S. R.; Majumdar, … - 2024
Persistent link: https://www.econbiz.de/10014536233
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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409
Persistent link: https://www.econbiz.de/10014311645
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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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Forecasting stock returns volatility of the G7 over centuries : the role of climate risks
Bouri, Elie; Gupta, Rangan; Liphadzi, Asingamaanda; … - 2024
Persistent link: https://www.econbiz.de/10014553267
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Unified moment-based modeling of integrated stochastic processes
Kyriakou, Ioannis; Brignone, Riccardo; Fusai, Gianluca - In: Operations research 72 (2024) 4, pp. 1630-1653
Persistent link: https://www.econbiz.de/10015045661
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Essays on micromotives and macrobehavior, expectation formation, and asset price dynamics
Ghonghadze, Jaba - 2013
Persistent link: https://www.econbiz.de/10009706287
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Estimating C-CAPM and the equity premium over the frequency domain
Kalyvitēs, Sarantēs; Panopulu, Aikaterinē - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 551-571
Persistent link: https://www.econbiz.de/10010228554