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Asymmetry and leverage in realized volatility
Asai, Manabu (contributor); McAleer, Michael (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003780794
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Asymmetric multivariate stochastic volatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 25 (2006) 2/3, pp. 453-473
Persistent link: https://www.econbiz.de/10003355815
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Testing and dating financial contagion : a new approach
Chiou, Shang Chan - 2007
Persistent link: https://www.econbiz.de/10009693132
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Foreign exchange bid-ask spreads and the market price of social unrest
Tan, Kok-hui - 1991
Persistent link: https://www.econbiz.de/10000909959
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Time-varying betas in Central and Eastern European markets: a bivariate BEKK GARCH approach
Anton, Sorin Gabriel; Ochem, Marie - In: International journal of economic policy in emerging … 6 (2013) 2, pp. 107-121
Persistent link: https://www.econbiz.de/10009790510
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Country risk and expected returns across global equity markets
Zaremba, Adam - In: Finance a úvěr 68 (2018) 4, pp. 374-398
Persistent link: https://www.econbiz.de/10011919795
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Factor multivariate stochastic volatility via Wishart processes
Philipov, Alexander; Glickman, Mark E. - In: Econometric reviews 25 (2006) 2/3, pp. 311-334
Persistent link: https://www.econbiz.de/10003355767
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Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012
Godeiro, Lucas Lúcio; Silva, Cesar R. da; Rodrigues, … - In: Journal of finance and investment analysis 2 (2013) 2, pp. 15-39
The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in …. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for …
Persistent link: https://www.econbiz.de/10009746028
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Moments of multivariate regime switching with application to risk-return trade-off
Taamouti, Abderrahim - In: Journal of empirical finance 19 (2012) 2, pp. 292-308
Persistent link: https://www.econbiz.de/10009615702
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The dynamic Black-Litterman approach to asset allocation
Harris, Richard D. F.; Stoja, Evarist; Tan, Linzhi - 2016
Persistent link: https://www.econbiz.de/10011480647