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Different approaches to stock market linkages : evidence from CEE-3 countries

Chocholatá, Michaela - In: Advances in applied business research : the L.A.B.S. …, (pp. 49-70). 2016

Persistent link: https://www.econbiz.de/10011489163

Modelling volatillity and its implication for European economic integration

Hall, Stephen G. - In: New directions in macromodelling, (pp. 1-19). 2004

Persistent link: https://www.econbiz.de/10002717301

Got crypto? : evidence from Markowitz, Kataoka, and conditional value-at-risk models

Du, Lanqing; Lee, Jinwook; Kim, Namjong; Choi, Paul Moon Sub - In: Fintech, pandemic, and the financial system : …, (pp. 113-143). 2023

Persistent link: https://www.econbiz.de/10014245458

Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model

Lu, Xun Fa; Lai, Kin Keung; Liang, Liang - In: Methods and applications in natural resources management, (pp. 333-357). 2014

Persistent link: https://www.econbiz.de/10010391496

Value at risk with high frequency data

Barucci, Emilio; Renò, R. - In: New trends in banking management : with 42 tables, (pp. 223-231). 2002

Persistent link: https://www.econbiz.de/10001703812

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003

Persistent link: https://www.econbiz.de/10001882139

Volatility and correlation forecasting

Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

Persistent link: https://www.econbiz.de/10003338446

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...

Persistent link: https://www.econbiz.de/10012604174

Forecasting and backtesting of market risks in emerging markets

Fantazzini, Dean - In: Risk assessment and financial regulation in emerging …, (pp. 199-223). 2021

problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step …

Persistent link: https://www.econbiz.de/10012591721

Oil price risk exposure of BRIC stock markets and hedging effectiveness

Shahzad, Syed Jawad Hussain; Bouri, Elie; Ur Rehman, Mobeen - In: Financial modeling and risk management of energy and …, (pp. 145-170). 2022

Persistent link: https://www.econbiz.de/10013349933

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