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Search: subject_exact:"Volatility"
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Correlation
Volatility
339
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336
Estimation
116
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ARCH model
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108
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93
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Bucci, Andrea
2
Min, Hong-ghi
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Economic modelling
Finance research letters
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International review of financial analysis
23
Energy economics
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Journal of empirical finance
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Research in international business and finance
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International review of economics & finance : IREF
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion paper / Tinbergen Institute
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Economics letters
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International journal of theoretical and applied finance
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ECONIS (ZBW)
29
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1
Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis
Yao, Jing
;
Yang, Yiwen
- In:
Economic modelling
129
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014472100
Saved in:
2
The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants
Pan, Beier
- In:
Economic modelling
124
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014463273
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3
The role of uncertainty in forecasting volatility comovements across stock markets
Bucci, Andrea
;
Palomba, Giulio
;
Rossi, Eduardo
- In:
Economic modelling
125
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014463541
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4
When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis
Liu, Zhenhua
;
Zhang, Huiying
;
Ding, Zhihua
;
Lv, Tao
; …
- In:
Economic modelling
114
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013367585
Saved in:
5
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
6
Market regime detection via realized covariances
Bucci, Andrea
;
Ciciretti, Vito
- In:
Economic modelling
111
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013349063
Saved in:
7
Correlation regimes in international equity and bond returns
Aslanidis, Nektarios
;
Martinez, Oscar
- In:
Economic modelling
97
(
2021
),
pp. 397-410
Persistent link: https://www.econbiz.de/10012793476
Saved in:
8
Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis
Niţoi, Mihai
;
Pochea, Maria Miruna
- In:
Economic modelling
86
(
2020
),
pp. 133-147
Persistent link: https://www.econbiz.de/10012415531
Saved in:
9
Correlation dynamics of crude oil with agricultural commodities : a comparison between energy and food crops
Pal, Debdatta
;
Mitra, Subrata Kumar
- In:
Economic modelling
82
(
2019
),
pp. 453-466
Persistent link: https://www.econbiz.de/10012203189
Saved in:
10
High-dimensional covariance forecasting based on principal component analysis of high-frequency data
Jian, Zhihong
;
Deng, Pingjun
;
Zhu, Zhican
- In:
Economic modelling
75
(
2018
),
pp. 422-431
Persistent link: https://www.econbiz.de/10012101548
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