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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129

Persistent link: https://www.econbiz.de/10012172264

Research on the influence of equity pledge on stock price crash risk : based on financial shock of 2015 stock market crisis

Xu, Rong; Chang, Jialu; Li, Conggang; Wang, Wenlan - In: Economic and political studies : EPS 7 (2019) 4, pp. 480-505

Persistent link: https://www.econbiz.de/10012173711

An empirical analysis of the total retail sales of consumer goods by using time series model

Shen, Shichang; Dong, Xiaoyi - In: Journal of mathematical finance 9 (2019) 2, pp. 175-181

Persistent link: https://www.econbiz.de/10012233384

Forecasting RMB exchange rate volatility : do time-varying higher moments and time-varying risk aversion help?

Wu, Xinyu; Mei, Xueting; Liu, Li - In: Applied economics letters 31 (2024) 8, pp. 757-767

Persistent link: https://www.econbiz.de/10014557859

Identifying the volatility risk price through the leverage effect

Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024

Persistent link: https://www.econbiz.de/10014580927

Analyzing time-different connectedness among systemic financial markets during the financial crisis and conventional era : New evidence from the VARX-DCC-MEGARCH model

Liu, Xiaoxing; Shehzad, Khurram - In: Journal of applied economics 26 (2023) 1, pp. 1-24

This investigation utilized the VARX-DCC-MEGARCH model assimilated with skewed-t density to analyze the time-different (i.e., daytime, overnight, and daily) connectedness among S&P 500, DAX 30, FTSE-100, Nikkei 225, and Shanghai Composite Index. This investigation discovered that the current...

Persistent link: https://www.econbiz.de/10014516096

Asymmetric volatility impulse response functions

Hafner, Christian M.; Herwartz, Helmut - In: Economics letters 222 (2023), pp. 1-6

Persistent link: https://www.econbiz.de/10014232851

Risk appetite and option prices : evidence from the Chinese SSE50 options market

Liu, Qing; Wang, Shouyang; Sui, Cong - In: International review of financial analysis 86 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248927

Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility

Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014250993

Volatility contagion and market integration across major coal markets : a diagonal BEKK GARCH approach

Varghese, George; Raju, Totakura Bangar - In: Journal of economic research 25 (2020) 1, pp. 77-100

Persistent link: https://www.econbiz.de/10013450690