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Return and volatility linkages between the US and the German stock market
Baur, Dirk; Jung, Robert - In: Journal of international money and finance 25 (2006) 4, pp. 598-613
Persistent link: https://www.econbiz.de/10003336485
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Firm investment and financial frictions
Baum, Christopher F. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003337108
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The diminishing benefits of nai͏̈ve international portfolio diversification following the 1997 Asian financial crisis
Krause, David S.; Kutner, George W. - In: International business and economics research journal 5 (2006) 4, pp. 19-27
Persistent link: https://www.econbiz.de/10003338099
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Information costs and liquidity effects from changes in the FTSE 100 List
Gregoriou, Andros; Ioannidis, Christos - In: The European journal of finance 12 (2006) 4, pp. 347-360
Persistent link: https://www.econbiz.de/10003338142
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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Scaling laws in stock markets : an analysis of prices and volumes
Bianchi, Sergio; Pianese, Augusto - In: Mathematical and statistical methods in insurance and …, (pp. 35-42). 2008
Persistent link: https://www.econbiz.de/10003837054
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Exchange rate exposure of exchange-traded funds
Madura, Jeff; Ngo, Thanh - In: International economics & finance journal : (IEFJ) 3 (2008) 1, pp. 47-63
Persistent link: https://www.econbiz.de/10003791301
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Noise, equity prices, and hedging : a new approach
Bertus, Mark; Godbey, Jonathan; Hinkelmann, Christoph; … - In: International review of financial analysis 17 (2008) 5, pp. 886-902
Persistent link: https://www.econbiz.de/10003792315
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Structural dynamic conditional correlation
Weber, Enzo - 2008
In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...
Persistent link: https://www.econbiz.de/10003796131
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Value-at-risk in US stock indices with skewed generalized error distribution
Lee, Ming-chih; Su, Jung-bin; Liu, Hung-Chun - In: Applied financial economics letters 4 (2008) 4/6, pp. 425-431
Persistent link: https://www.econbiz.de/10003808278