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Return and volatility connectedness and net directional patterns in spillover transmissions : East and Southeast Asian equity markets

Mateus, Cesario; Bagirov, Miramir; Mateus, Irina Bezhentseva - In: International review of finance : the official journal … 24 (2024) 1, pp. 83-103

Persistent link: https://www.econbiz.de/10014507516

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Estimating and predicting multivariate volatility thresholds in global stock markets

Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369

Persistent link: https://www.econbiz.de/10003316303

International stock market indices comovements : a new look

Madaleno, Mara; Pinho, Carlos - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 89-102

Persistent link: https://www.econbiz.de/10009507847

Tail estimation and conditional modeling of heteroscedastic time-series

Paolella, Marc S. - 1999 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001388258

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206