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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
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On the epidemic of financial crises
Demiris, Nikolao; Kypraios, Theodore; Smith, L. Vanessa - 2012
Persistent link: https://www.econbiz.de/10009757621
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Modelling of crude oil price data using hidden Markov model
Kadhem, Safaa; Thajel, Haider - In: The journal of risk finance : JRF 24 (2023) 2, pp. 269-284
Persistent link: https://www.econbiz.de/10014232433
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A joint analysis of market indexes in credit default swap, volatility and stock markets
Fonseca, José da; Wang, Peiming - In: Applied economics 48 (2016) 19/21, pp. 1767-1784
Persistent link: https://www.econbiz.de/10011589737
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S&P 500 volatility, volatility regimes, and economic uncertainty
Adrangi, Bahram; Chatrath, Arjun; Raffiee, Kambiz - In: Bulletin of economic research 75 (2023) 4, pp. 1362-1387
Persistent link: https://www.econbiz.de/10014436045
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Assessing the precision of turning point estimates in polynomial regression functions
Plassmann, Florenz; Khanna, Neha - In: Econometric reviews 26 (2007) 5, pp. 503-528
Persistent link: https://www.econbiz.de/10003549303
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Modeling persistence and parameter instability in historical crude oil price data using a gibbs sampling approach
Nonejad, Nima - In: Computational economics 53 (2019) 4, pp. 1687-1710
Persistent link: https://www.econbiz.de/10012135601
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Modelling and estimating the forward price curve in the energy market
Chiarella, Carl; Chewlow, Les; King, Boda - 2009
Persistent link: https://www.econbiz.de/10008662359
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Global imbalances, cross-market linkages, and the financial crisis : a multivariate Markov-switching analysis
Chevallier, Julien - In: Economic modelling 29 (2012) 3, pp. 943-973
Persistent link: https://www.econbiz.de/10009545490
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Markets contagion during financial crisis : a regime-switching approach
Guo, Feng; Chen, Carl R.; Huang, Ying - In: International review of economics & finance : IREF 20 (2011) 1, pp. 95-109
Persistent link: https://www.econbiz.de/10009304198