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Is the investment factor a proxy for time-varying investment opportunities? : the US and international evidence

Huang, Lin; Wang, Zijun - In: Journal of banking & finance 44 (2014), pp. 219-232

Persistent link: https://www.econbiz.de/10010410914

Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance …

Persistent link: https://www.econbiz.de/10011410634

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Exchange rate and stock markets during trade conflicts in the USA, China, and India

Krishnan, Deepika; Dagar, Vishal - In: Global journal of emerging market economies 14 (2022) 2, pp. 185-203

Persistent link: https://www.econbiz.de/10013256644

Forecasting risk in the US Dollar exchange rate under volatility shifts

Anjum, Hassan; Malik, Farooq - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012664814

Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012494892

Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks

Anjum, Hassan - In: Journal of economics and finance 43 (2019) 4, pp. 750-763

Persistent link: https://www.econbiz.de/10012385205

A multivariate analysis of United States and global real estate investment trusts

Begiazi, Kyriaki; Asteriou, Dimitrios; Pilbeam, Keith - In: International economics and economic policy : IEEP 13 (2016) 3, pp. 467-482

Persistent link: https://www.econbiz.de/10011714591

The effect of interest rate spreads on economic activity : evidence from the United States

Chang, Hai Yen; Wang, Yung-Chang - In: The empirical economics letters : a monthly … 16 (2017) 2, pp. 83-94

Persistent link: https://www.econbiz.de/10011718799

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