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Jiang, Zhengjun; Xia, Weixuan - In: Journal of time series econometrics 10 (2018) 1, pp. 1-28

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Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

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Volatility and Kurtosis of daily stock returns at MSE

Ivanovski, Zoran; Stojanovski, Toni; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 6 (2015) 2, pp. 209-221

risky assets. The daily stock returns at Macedonian Stock Exchange (MSE) are characterized by high volatility and non …-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility …

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Stocks with extreme past returns : lotteries or insurance?

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Stability of cross-market bivariate return distributions during financial turbulence

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An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

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Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index

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Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis

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Modeling returns and unconditional variance in risk neutral world for liquid and illiquid market

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