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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Risk-return relationship for stock-market investments : a study of the implied volatility index of Japan (VXJ)
Narwal, Karam Pal; Sheera, Ved Pal; Mittal, Ruhee; … - In: South Asian journal of management : SAJM 25 (2018) 1, pp. 64-82
Persistent link: https://www.econbiz.de/10011888130
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Stock market anomalies, market efficiency and the adaptive market hypothesis : evidence from Islamic stock indices
Al-Khazali, Osamah; Mirzaei, Ali - In: Journal of international financial markets, … 51 (2017), pp. 190-208
Persistent link: https://www.econbiz.de/10011896306
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Intraday return and volatility spillover mechanism from Chinese to Japanese stock market
Nishimura, Yusaku; Tsutsui, Yoshirō; Hirayama, Kenjiro - In: Journal of the Japanese and international economies : … 35 (2015), pp. 23-42
Persistent link: https://www.econbiz.de/10011380505
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Grouping stock markets with time-varying Copula-GARCH model
Czapkiewicz, Anna; Majdosz, Paweł - In: Finance a úvěr 64 (2014) 2, pp. 144-159
Persistent link: https://www.econbiz.de/10010340205
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Acts of terrorism and their impacts on stock index returns and volatility : the cases of the Karachi and Tehran stock exchanges
Nguyen, Anh Phuong; Enomoto, Carl E. - In: International business and economics research journal 8 (2009) 12, pp. 75-86
Persistent link: https://www.econbiz.de/10003945829
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Are investors moonstruck? : further international evidence on lunar phases and stock returns
Keef, Stephen P.; Khaled, Mohammed S. - In: Journal of empirical finance 18 (2011) 1, pp. 56-63
Persistent link: https://www.econbiz.de/10009301179
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The effect of abnormal turnover on asymmetric autoregressive behavior of index returns : evidence from the Chinese a-share stock markets
Hsiao, Jung-lieh; Tu, Teng-tsai - In: Asia-Pacific journal of financial studies 41 (2012) 5, pp. 563-589
Persistent link: https://www.econbiz.de/10009665558
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Intertemporal relations between the market volatility index and stock index returns
Sarwar, Ghulam - In: Applied financial economics 22 (2012) 10/12, pp. 899-909
Persistent link: https://www.econbiz.de/10009624959