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The smooth transition GARCH model: application to international stock indexes

Khemiri, Rim - In: Applied financial economics 21 (2011) 7/9, pp. 555-562

Persistent link: https://www.econbiz.de/10009153250

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

Asymmetric dynamics in stock market volatility

Karunanayake, Indika; Valadkhani, Abbas - In: Economic papers : a journal of applied economics and policy 30 (2011) 2, pp. 279-287

Persistent link: https://www.econbiz.de/10009158805

What might central banks lose or gain in case of Euro adoption : a GARCH-analysis of money market rates for Sweden, Denmark and the UK

Buscher, Herbert S.; Gabrisch, Hubert - 2011

This study deals with the question whether the central banks of Sweden, Denmark and the UK can really influence short-term money markets and thus, would lose this influence in case of Euro adoption. We use a GARCH-M-GED model with daily money market rates. The model reveals the co-movement...

Persistent link: https://www.econbiz.de/10009162063