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A GARCH modelling of volatility and M-GARCH approach of stock market linkages of North America
Panda, Ajaya Kumar; Nanda, Swagatika - In: Global business review 19 (2018) 6, pp. 1538-1553
Persistent link: https://www.econbiz.de/10011982881
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Risk reduction and efficiency increase in large portfolios : leverage and shrinkage
Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019
combination of DCC (Dynamic Conditional Correlation - a well-known Multivariate GARCH model) - with NL (Non-Linear shrinkage, a … substantial upgrade upon linear shrinkage technology); although 130/30 DCC-NL comes a close second. This is true both in the "pure …
Persistent link: https://www.econbiz.de/10012030060
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Bias in social mobility estimates with historical data : evidence from Swiss microdata
Favre, Giacomin - 2019
This paper explores a variety of potential issues one has to address when estimating intergenerational mobility with historical data. Many studies are potentially affected by bias originating from individuals emigrating and thus dropping out of the sample, missing information on the life-cycle,...
Persistent link: https://www.econbiz.de/10012030067
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MGARCH models: trade-off between feasibility and flexibility
Almeida, Daniel de; Hotta, Luiz K.; Ruiz, Esther - In: International journal of forecasting 34 (2018) 1, pp. 45-63
Persistent link: https://www.econbiz.de/10012030840
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On the hedge and safe haven properties of Bitcoin : is it really more than a diversifier?
Bouri, Elie; Molnár, Peter; Azzi, Georges; Roubaud, David - In: Finance research letters 20 (2017), pp. 192-198
Persistent link: https://www.econbiz.de/10011806908
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Marginal speculation and hedging in commodity markets
Ulusoy, Veysel; Onbirler, Özgür Ünal - In: Finance research letters 23 (2017), pp. 269-282
Persistent link: https://www.econbiz.de/10011808416
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On the time-varying nature of the debt-growth nexus : evidence from the euro area
Gómez Puig, Marta; Sosvilla-Rivero, Simón - In: Applied economics letters 25 (2018) 9, pp. 597-600
Persistent link: https://www.econbiz.de/10011855059
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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195
Persistent link: https://www.econbiz.de/10011894575
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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
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Commodity financialization and sector ETFs : Evidence from crude oil futures
Liu, Pan; Vedenov, Dmitrij V.; Power, Gabriel J. - In: Research in international business and finance 51 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012208332