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~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~language:"eng"
~subject:"Risk measure"
~subject:"Spillover effect"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Ben Omrane, Walid
1
El Ghini, Ahmed
1
Fabozzi, Frank J.
1
Gamba-Santamaria, Santiago
1
Giot, Pierre
1
Grammig, Joachim
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Gómez González, José Eduardo
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Hafner, Christian M.
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Hurtado, Jorge
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Melo-Velandia, Luis Fernando
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Shi, Wenming
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Sun, Wei
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Energy economics
72
The North American journal of economics and finance : a journal of financial economics studies
52
International review of financial analysis
46
Economic modelling
45
Finance research letters
44
Research in international business and finance
43
Applied economics
33
International review of economics & finance : IREF
32
Journal of banking & finance
29
Journal of empirical finance
29
Journal of risk and financial management : JRFM
29
International journal of forecasting
26
Journal of international financial markets, institutions & money
23
Journal of risk
22
Discussion paper / Tinbergen Institute
18
Econometric Institute research papers
17
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
17
Working papers
17
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
16
The journal of risk model validation
16
Journal of forecasting
15
International Journal of Energy Economics and Policy : IJEEP
14
Applied economics letters
13
Journal of econometrics
13
Pacific-Basin finance journal
13
International journal of economics and financial issues : IJEFI
12
International Journal of Financial Studies : open access journal
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
The European journal of finance
11
The empirical economics letters : a monthly international journal of economics
11
Cogent economics & finance
10
Global business review
10
Risks : open access journal
10
Theoretical economics letters
10
Annals of financial economics
9
CESifo working papers
9
Emerging markets review
9
International journal of finance & economics : IJFE
9
Quantitative finance
9
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1
Volatility spillovers among global stock markets : measuring total and directional effects
Gamba-Santamaria, Santiago
;
Gómez González, José Eduardo
- In:
Empirical economics : a journal of the Institute for …
56
(
2019
)
5
,
pp. 1581-1599
Persistent link: https://www.econbiz.de/10012052208
Saved in:
2
Time-varying copula models in the shipping derivatives market
Shi, Wenming
;
Li, Kevin Xingang
;
Yang, Zhongzhi
;
Wang, …
- In:
Empirical economics : a journal of the Institute for …
53
(
2017
)
3
,
pp. 1039-1058
Persistent link: https://www.econbiz.de/10011892949
Saved in:
3
Return and volatility spillovers in the Moroccan stock market during the financial crisis
El Ghini, Ahmed
;
Saidi, Youssef
- In:
Empirical economics : a journal of the Institute for …
52
(
2017
)
4
,
pp. 1481-1504
Persistent link: https://www.econbiz.de/10011945013
Saved in:
4
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Saved in:
5
Crude oil and world stock markets : volatility spillovers, dynamic correlations, and hedging
Wang, Yudong
;
Liu, Li
- In:
Empirical economics : a journal of the Institute for …
50
(
2016
)
4
,
pp. 1481-1509
Persistent link: https://www.econbiz.de/10011481725
Saved in:
6
Macroeconomic news surprises and volatility spillover in foreign exchange markets
Ben Omrane, Walid
;
Hafner, Christian M.
- In:
Empirical economics : a journal of the Institute for …
48
(
2015
)
2
,
pp. 577-607
Persistent link: https://www.econbiz.de/10011292917
Saved in:
7
Asset allocation under higher moments with the GARCH filter
Kinoshita, Ryo
- In:
Empirical economics : a journal of the Institute for …
49
(
2015
)
1
,
pp. 235-254
Persistent link: https://www.econbiz.de/10011325723
Saved in:
8
A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
; …
- In:
Empirical economics : a journal of the Institute for …
36
(
2009
)
1
,
pp. 201-229
Persistent link: https://www.econbiz.de/10003804574
Saved in:
9
How large is liquidity risk in an automated auction market?
Giot, Pierre
;
Grammig, Joachim
- In:
Empirical economics : a journal of the Institute for …
30
(
2005
)
4
,
pp. 867-887
Persistent link: https://www.econbiz.de/10003233768
Saved in:
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