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Showing
11
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20
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11
Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669344
Saved in:
12
Time-varying autoregressive conditional duration model
Bortoluzzo, Adriana Bruscato
;
Morettin, Pedro A.
; …
-
2009
Persistent link: https://www.econbiz.de/10008797385
Saved in:
13
Estimating and forecasting volatility of financial time series in Pakistan with GARCH-type models
Pasha, G. R.
;
Qasim, Tahira
;
Chaudhary, Mohammad Aslam
- In:
The Lahore journal of economics
12
(
2007
)
2
,
pp. 115-149
Persistent link: https://www.econbiz.de/10003679727
Saved in:
14
Conditional correlations and volatility spillovers between crude oil and stock index returns
Tansuchat, Roengchai
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10003987330
Saved in:
15
Long memory and nonlinearity in conditional variances : a smooth transition FIGARCH model
Kiliç, Rehim
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 368-378
Persistent link: https://www.econbiz.de/10009301107
Saved in:
16
Modelling exchange rates volatility with multivariate long-memory ARCH processes
Teyssière, Gilles
-
1999
-
Rev.
, and the Deutschmark-US dollar. The
estimation
results for both models show: (i) that the unrestricted model outperforms …
Persistent link: https://www.econbiz.de/10009579181
Saved in:
17
Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models
Idier, Julien
- In:
The European journal of finance
17
(
2011
)
1/2
,
pp. 27-48
Persistent link: https://www.econbiz.de/10009155466
Saved in:
18
Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation
Choe, Kwang-il
;
Choi, Pilsun
;
Nam, Kiseok
;
Vahid, Farshid
- In:
Pacific-Basin finance journal
20
(
2012
)
2
,
pp. 271-291
Persistent link: https://www.econbiz.de/10009488255
Saved in:
19
Selected techniques of detecting structural breaks in financial volatility
Stawiarski, Bartosz
- In:
E-Finanse : finansowy kwartalnik internetowy
11
(
2015
)
1
,
pp. 32-43
is carried out via numerical
simulation
in the case of simulated T-GARCH models and two real series, namely German and US …
Persistent link: https://www.econbiz.de/10011393264
Saved in:
20
Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem
;
Kalita, Mamoni
;
Tiwari, Aviral Kumar
- In:
Theoretical economics letters
5
(
2015
)
3
,
pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
Saved in:
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