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Time-varying volatility and the power law distribution of stock returns

Warusawitharana, Missaka - In: Journal of empirical finance 49 (2018), pp. 123-141

Persistent link: https://www.econbiz.de/10012117726

Do higher order moments of return distribution provide better decisions in minimum-variance hedging? : evidence from US stock index futures

Hou, Yang; Holmes, Mark J. - In: Australian journal of management 45 (2020) 2, pp. 240-265

Persistent link: https://www.econbiz.de/10012216958

Modeling and forecasting return jumps using realized variation measures

Liu, Yi; Liu, Huifang; Zhang, Lei - In: Economic modelling 76 (2019), pp. 63-80

Persistent link: https://www.econbiz.de/10012198262

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

Violations of uncovered interest rate parity and international exchange rate dependences

Ames, Matthew; Bagnarosa, Guillaume; Peters, Gareth - In: Journal of international money and finance 73 (2017), pp. 162-187

Persistent link: https://www.econbiz.de/10011787712

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Nakajima, Jouchi - In: Econometric reviews 36 (2017) 5, pp. 546-562

Persistent link: https://www.econbiz.de/10011795262

Measuring asset market linkages : nonlinear dependence and tail risk

Escanciano, Juan Carlos; Hualde, Javier - 2017

Persistent link: https://www.econbiz.de/10011763135

Performance of tail hedged portfolio with third moment variation swap

Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471

Persistent link: https://www.econbiz.de/10011783329

Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations

Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020

volatility dynamics of the cryptocurrency market, realized volatility measures computed from different frames (1m, 5m, 15m, 30m …

Persistent link: https://www.econbiz.de/10012542685

Empirical evidences on the interconnectedness between sampling and asset returns' distributions

Orlando, Guiseppe; Bufalo, Michele - In: Risks : open access journal 9 (2021) 5, pp. 1-35

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...

Persistent link: https://www.econbiz.de/10012596311