Similar Search Results

Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation

Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin finance journal 20 (2012) 2, pp. 271-291

Persistent link: https://www.econbiz.de/10009488255

Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation

Choe, Kwang-il; Choi, Pilsun; Nam, Kiseok; Vahid, Farshid - In: Pacific-Basin Finance Journal 20 (2012) 2, pp. 271-291

We suggest that there is a significant relationship between cross-market comovement and time varying volatility. The time-varying component of cross-market dependence is attributed to the intertemporal risk-return adjustment by rational, risk-averse investors who systematically revise their...

Persistent link: https://www.econbiz.de/10010572481

Necessity of negative serial correlation for mean-reversion of stock prices

Choe, Kwang-Il; Nam, Kiseok; Vahid, Farshid - In: The quarterly review of economics and finance : journal … 47 (2007) 4, pp. 576-583

Persistent link: https://www.econbiz.de/10003541140

Necessity of negative serial correlation for mean-reversion of stock prices

Choe, Kwang-Il; Nam, Kiseok; Vahid, Farshid - In: The Quarterly Review of Economics and Finance 47 (2007) 4, pp. 576-583

Persistent link: https://www.econbiz.de/10005378569

Necessity of negative serial correlation for mean-reversion of stock prices

Choe, Kwang-Il; Nam, Kiseok; Vahid, Farshid - In: The quarterly review of economics and finance : journal … 47 (2007) 4, pp. 576

Persistent link: https://www.econbiz.de/10007765844

Asymmetric and leptokurtic distribution for heteroscedastic asset returns : the S[U]-normal distribution

Choi, Pilsun; Nam, Kiseok - In: Journal of empirical finance 15 (2008) 1, pp. 41-63

Persistent link: https://www.econbiz.de/10003692974

Technical trading rules for nonlinear dynamics of stock returns : evidence from the G-7 stock markets

Choe, Kwang-il; Krausz, Joshua; Nam, Kiseok - In: Review of quantitative finance and accounting 36 (2011) 3, pp. 323-353

Persistent link: https://www.econbiz.de/10009272482

Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets

Choe, Kwang-il; Krausz, Joshua; Nam, Kiseok - In: Review of quantitative finance and accounting 36 (2011) 3, pp. 323-354

Persistent link: https://www.econbiz.de/10008898311

Technical trading rules for nonlinear dynamics of stock returns: evidence from the G-7 stock markets

Choe, Kwang-il; Krausz, Joshua; Nam, Kiseok - In: Review of Quantitative Finance and Accounting 36 (2011) 3, pp. 323-353

Persistent link: https://www.econbiz.de/10008925898

Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution

Choi, Pilsun; Nam, Kiseok - In: Journal of Empirical Finance 15 (2008) 1, pp. 41-63

Persistent link: https://www.econbiz.de/10005152431

1
2
3
4
5
6
7
8
9
10
Next
Last