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Forecasting stock market volatility using Realized GARCH model : international evidence

Sharma, Prateek; Vipul - In: The quarterly review of economics and finance : journal … 59 (2016), pp. 222-230

Persistent link: https://www.econbiz.de/10011627288

A copula-TGARCH approach of conditional dependence between oil price and stock market index : the case of Mexico

Valdés, Arturo Lorenzo; Armenta Fraire, Leticia; … - In: Estudios económicos 31 (2016) 1, pp. 47-63

Persistent link: https://www.econbiz.de/10011580826

Macroeconomic factors and the Indian stock market : exploring long and short run relationships

Kotha, Kiran Kumar; Sahu, Bhawna - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1081-1091

Persistent link: https://www.econbiz.de/10011697989

Stock return comovement around the Dow Jones Islamic Market World Index revisions

Mazouz, Khelifa; Mohamed, Abdulkadir; Saadouni, Brahim - In: Journal of economic behavior & organization : JEBO 132 (2016), pp. 50-62

Persistent link: https://www.econbiz.de/10011702846

Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172

Jump tail dependence in the Chinese stock market

Li, Sophia Zhengzi; Wang, Hao; Zhao, Hua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2379-2396

Persistent link: https://www.econbiz.de/10011672561

Asymmetric causality in-mean and in-variance among equity markets indexes

González Sánchez, Mariano - In: The North American journal of economics and finance : a … 36 (2016), pp. 49-68

Persistent link: https://www.econbiz.de/10011672599

Macroeconomic information and the implied volatility : evidence from India VIX

Srinivasan, Palamalai - In: Theoretical economics letters 7 (2017) 3, pp. 490-501

Persistent link: https://www.econbiz.de/10011674298

Extreme value theory : an application to the Peruvian stock market returns

Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Persistent link: https://www.econbiz.de/10011689643

The analysis of the stock market performances through stock rates in the context of listed companies

Onica, Mihaela Cristina; Cretu, Carmen Mihaela - In: EuroEconomica 37 (2018) 3, pp. 306-314

Persistent link: https://www.econbiz.de/10012061301