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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Return sign forecasts based on conditional risk : evidence from the UK stock market index
Chevapatrakul, Thanaset - In: Journal of banking & finance 37 (2013) 7, pp. 2342-2353
Persistent link: https://www.econbiz.de/10009760654
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Asset-liability management for pension funds in a time-varying volatility environment
Vrontos, Spyridon D.; Vrontos, Ioannis D.; … - In: The journal of asset management 14 (2013) 5, pp. 306-333
Persistent link: https://www.econbiz.de/10010237937
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Modelling the conditional heteroscedasticity and leverage effect in the BSE sectoral indices
Bhat, Sajad Ahmad; Nain, Md Zulquar - In: The IUP journal of financial risk management : IJFRM 11 (2014) 2, pp. 49-61
Persistent link: https://www.econbiz.de/10010385782
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Volatility timing : how best to forecast portfolio exposures
Clements, A.; Silvennoinen, A. - In: Journal of empirical finance 24 (2013), pp. 108-115
Persistent link: https://www.econbiz.de/10010371987
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Conditionally heteroskedastic factor models with skewness and leverage effects
Dovonon, Prosper - In: Journal of applied econometrics 28 (2013) 7, pp. 1110-1137
Persistent link: https://www.econbiz.de/10010351082
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Asymmetric and negative return-volatility relation : a behavioural explanation
Abbes, Mouna Boujelbène; Salah, Ines Ben; Ellouze, … - In: International journal of economics and business research 6 (2013) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10010351133
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Improving asset price prediction when all models are false
Durham, Garland; Geweke, John - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
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Inferring volatility from the yield curve
Brousseau, Vincent; Durré, Alain - In: Journal of mathematical finance 5 (2015) 3, pp. 304-314
Persistent link: https://www.econbiz.de/10011438558