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~isPartOf:"Computational economics"
~isPartOf:"Review of quantitative finance and accounting"
~language:"eng"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Article"
~type_genre:"Bibliographie enthalten"
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Volatility
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208
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Convertible bond arbitrage smart beta
Zeitsch, Peter J.
- In:
Computational economics
63
(
2024
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10014472067
Saved in:
3
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
4
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
5
Nonparametric test for volatility in clustered multiple time series
Barrios, Erniel B.
;
Redondo, Paolo Victor T.
- In:
Computational economics
63
(
2024
)
2
,
pp. 861-876
Persistent link: https://www.econbiz.de/10014475068
Saved in:
6
Realized higher moments and trading activity
Yuan, Shu-Fang
- In:
Review of quantitative finance and accounting
62
(
2024
)
3
,
pp. 971-1005
Persistent link: https://www.econbiz.de/10014503204
Saved in:
7
CDS and equity markets' volatility linkages : lessons from the EMU crisis
Bratis, Theodoros
;
Laopodis, Nikiforos
;
Kouretas, …
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1259-1281
Persistent link: https://www.econbiz.de/10014291804
Saved in:
8
Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion
Guo, Changhong
;
Fang, Shaomei
;
He, Yong
- In:
Computational economics
61
(
2023
)
4
,
pp. 1681-1705
Persistent link: https://www.econbiz.de/10014327122
Saved in:
9
Do investors infer future cash flow volatility based on liquidity?
Angelo, Ben
;
Johnston, Mitchell
- In:
Review of quantitative finance and accounting
60
(
2023
)
1
,
pp. 259-294
Persistent link: https://www.econbiz.de/10013548976
Saved in:
10
DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha
;
Shin, Minchul
;
Tan, Fei
- In:
Computational economics
61
(
2023
)
1
,
pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
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