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A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10003823949
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How the US capital markets volatility interacts with economic growth
Curto, José Dias; Marques, João - In: Annals of economics and finance 14 (2013) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10010480653
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Modeling stock markets' volatility using GARCH models with Normal, Student's t and stable Paretian distributions
Curto, José Dias; Pinto, José Castro; Tavares, … - In: Statistical papers 50 (2009) 2, pp. 311-321
Persistent link: https://www.econbiz.de/10003815208
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Sovereign bond markets and financial volatility dynamics : panel-GARCH evidence for six euro area countries
Ribeiro, Pedro Pires; Cermeño, Rodolfo; Curto, José Dias - In: Finance research letters 21 (2017), pp. 107-114
Persistent link: https://www.econbiz.de/10011807517
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Herd behaviour and market efficiency : evidence from the Iberian stock exchanges
Curto, José Dias; Falcão, Pedro Fontes; Braga, André … - In: Journal of advanced studies in finance : JASF 8 (2017) 2/16, pp. 81-93
Persistent link: https://www.econbiz.de/10011883264
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Volatility spillover effects in interbank money markets
Ribeiro, Pedro Pires; Curto, José Dias - In: Review of world economics 153 (2017) 1, pp. 105-136
Persistent link: https://www.econbiz.de/10011889317
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The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility : an expanded APARCH model
Curto, José Dias; Serrasqueiro, Pedro - In: Finance research letters 46 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013341276