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Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel - In: Revista de análisis económico 32 (2017) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
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Average skewness in global equity markets
Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 245-271
Persistent link: https://www.econbiz.de/10014326300
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
domestic volatility after good shocks but a bad hedge after crashes …
Persistent link: https://www.econbiz.de/10003394353
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On the relationship between weather and stock market returns
Floros, Christos - In: Studies in economics and finance 28 (2011) 1, pp. 5-13
Persistent link: https://www.econbiz.de/10009007582
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A comparison of tail behaviour of stock market returns
Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
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Size matters : tail risk, momentum and trend following in international equity portfolios
Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015
Persistent link: https://www.econbiz.de/10010531062
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Regime shifts in asymmetric GARCH models assuming heavy-tailed distribution : evidence from GCC stock markets
Alfreedi, Ajab A.; Isa, Zaidi; Hassan, Abu - In: Journal of statistical and econometric methods 1 (2012) 1, pp. 43-76
variance equations overcomes the overestimation of volatility persistence. In addition, we have discovered that the sudden …
Persistent link: https://www.econbiz.de/10009769997
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Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions
Assaf, Ata - In: Journal of multinational financial management 29 (2015), pp. 30-45
Persistent link: https://www.econbiz.de/10011539511
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Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails
Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657
Persistent link: https://www.econbiz.de/10011562539
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Forecasting volatility of European and Asian equity indices with Hansen's skew-t and fat tailed distributions, as well as with non-linear asymmetric effects
Gabrielsen, Alexandros; Sarmpezoudis, Sotirios - In: International journal of economic research 9 (2012) 2, pp. 243-263
Persistent link: https://www.econbiz.de/10009685246