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ECONIS (ZBW)
14
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
3
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
4
COVID-19 and stock returns : evidence from the Markov switching dependence approach
Bouteska, Ahmed
;
Sharif, Taimur
;
Abedin, Mohammad Zoynul
- In:
Research in international business and finance
64
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014279046
Saved in:
5
On the volatility of cryptocurrencies
Panagiōtidēs, Theodōros
;
Papapanagiotou, Georgios
; …
- In:
Research in international business and finance
62
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248505
Saved in:
6
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
7
Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Caporale, Guglielmo Maria
;
Zekokh, Timur
- In:
Research in international business and finance
48
(
2019
),
pp. 143-155
Persistent link: https://www.econbiz.de/10012135859
Saved in:
8
Liquidity uncertainty and Bitcoin's market microstructure
Koutmos, Dimitrios
- In:
Economics letters
172
(
2018
),
pp. 97-101
Persistent link: https://www.econbiz.de/10012022065
Saved in:
9
The semiparametric asymmetric stochastic volatility model with time-varying parameters : the case of US inflation
Dimitrakopoulos, Stefanos
- In:
Economics letters
155
(
2017
),
pp. 14-18
Persistent link: https://www.econbiz.de/10011821483
Saved in:
10
Dynamic correlations and domestic-global diversification
Li, Leon
- In:
Research in international business and finance
39
(
2017
),
pp. 280-290
Persistent link: https://www.econbiz.de/10011876476
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