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Multivariate GARCH analysis of Fannie Mae, Freddie Mac, and American International Group : did the short-selling ban reduce systemic return-risk?
Ulibarrí, Carlos A. - In: The North American journal of economics and finance : a … 25 (2013), pp. 60-69
Persistent link: https://www.econbiz.de/10009777875
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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African equity markets' exposure to oil and other commodities : implications for global portfolio diversification
Alagidede, Imhotep Paul; Boako, Gideon; Sjo, Bo - In: Journal of economics and finance : JEF 45 (2021) 2, pp. 288-315
Persistent link: https://www.econbiz.de/10012496689
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Estimating time-varying volatility in consumer prices in rwanda : application of GARCH models
Maniraguha, Faustin; Karangwa, Mathias; Mwenese, Bruno; … - In: BNR economic review (2019) 14, pp. 53-75
Persistent link: https://www.econbiz.de/10012312029
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Exploration of the foreign exchange forward premiums and the spot exchange return : a multivariate approach
Hamzaoui, Nessrine; Regaieg, Boutheina - In: International journal of economics and financial issues … 6 (2016) 2, pp. 694-702
Persistent link: https://www.econbiz.de/10011697286
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Market interactions in gold and stock markets : evidences from Saudi Arabia
Afsal, E. M.; Haque, Mohammad Imdadul - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1025-1034
Persistent link: https://www.econbiz.de/10011697567
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Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161
Persistent link: https://www.econbiz.de/10011644073
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Pricing derivatives with fractional volatility
Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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Think again : volatility asymmetry and volatility persistence
Baur, Dirk G.; Dimpfl, Thomas - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012054865
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The growth-volatility relationship redux : what does volatility decomposition tell?
Mallick, Debdulal - In: The B.E. journal of macroeconomics 19 (2019) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10012027392