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Structural breaks and financial volatility : lessons from the BRIC countries

Morales, Lucia; Gassie-Falzone, Esmeralda - In: Economics, management and financial markets 9 (2014) 4, pp. 67-91

Persistent link: https://www.econbiz.de/10011544269

Time variation in the relative importance of permanent and transitory components in the U.S. housing market

Kishor, N. Kundan; Kumari, Swati; Song, Suyong - In: Finance research letters 12 (2015), pp. 92-99

Persistent link: https://www.econbiz.de/10011552261

Modeling the dynamics of large conditional heteroskedastic covariance matrices

Ahmed, Naeem - 2015

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and … recently become the main area of interest of financial econometricians; hence, multivariate GARCH models have been introduced … in order to capture these co-movements. A large variety of multivariate GARCH models exists in the financial world, and …

Persistent link: https://www.econbiz.de/10011459899

Spatial dependence in stock returns : local normalization and VaR forecasts

Schmitt, Thilo A.; Schäfer, Rudi; Wied, Dominik; Guhr, … - In: Empirical economics : a journal of the Institute for … 50 (2016) 3, pp. 1091-1109

Persistent link: https://www.econbiz.de/10011481381

Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419

Persistent link: https://www.econbiz.de/10011481716

GARCH model estimation using estimated quadratic variation

Galbraith, John W.; Zinde-Walsh, Victoria; Zhu, Jingmei - In: Econometric reviews 34 (2015) 6/10, pp. 1172-1192

Persistent link: https://www.econbiz.de/10011483454

Determinants of the CNY/USD exchange rate : a simultaneous-equation model

Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281

Persistent link: https://www.econbiz.de/10011502648

Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances

Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51

Persistent link: https://www.econbiz.de/10011511029

Volatility of stock markets : (an analysis of South Asian and G8 countries)

Baig, Muhammad Mansoor; Aslam, Waheed; Malik, Qaiser; … - In: Acta Universitatis Danubius / Oeconomica 11 (2015) 6, pp. 58-70

Persistent link: https://www.econbiz.de/10011513908

A unit root model for trending time-series energy variables

Narayan, Paresh Kumar; Liu, Ruipeng - In: Energy economics 50 (2015), pp. 391-402

Persistent link: https://www.econbiz.de/10011564140