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Ist die Hebelwirkung der Grund für Asymmetrie in ARCH- und GARCH-Modellen?
Schoffer, Olaf - 2000
Persistent link: https://www.econbiz.de/10001575009
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Proceedings of the Hong Kong International Workshop on Statistics and Finance: an Interface : Centre of Financial Time Series, the University of Hong Kong 4-8 July 1999
Chan, Wai-Sum (contributor); Li, Wai Keung (contributor);  … - International Workshop on Statistics and Finance <1999, … - 2000
Persistent link: https://www.econbiz.de/10001490756
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Mean reversion models of financial markets
Hillebrand, Eric - 2003 - [Elektronische Ressource]
Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory … stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean …
Persistent link: https://www.econbiz.de/10001774355
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …
Persistent link: https://www.econbiz.de/10012486245
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Learning from history : volatility and financial crises
Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2018 - This version: January 2018
Persistent link: https://www.econbiz.de/10012204110
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Populism and financial markets
Hartwell, Christopher A. - In: Finance research letters 46 (2022) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10013341867
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...
Persistent link: https://www.econbiz.de/10013520959
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Financial risk management with bayesian estimation of GARCH models : theory and applications
Ardia, David - 2008
Persistent link: https://www.econbiz.de/10013278094
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Asymmetric volatility spillover between crude oil and other asset markets
Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023
This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility … vary over time. Our results reveal that the stock market is the dominant contributor to volatility spillover, while the …
Persistent link: https://www.econbiz.de/10014433363