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ECONIS (ZBW)
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1
Cross-Market
Spillovers with Volatility Surprise
Aboura, Sofiane
;
Chevallier, Julien
-
Institut de Préparation à l'Administration et à la …
-
2014
updating the concept of ‘volatility surprise’ to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10010891079
Saved in:
2
Cross-Market
Spillovers with ‘Volatility Surprise’
Chevallier, Julien
;
Aboura, Sofiane
-
EconomiX, Université Paris Ouest-Nanterre la Défense …
-
2014
updating the concept of ‘volatility surprise’ to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10010928985
Saved in:
3
Cross-Market
Spillovers with 'Volatility Surprise'
Aboura, Sofiane
;
Chevallier, Julien
-
HAL
-
2014
updating the concept of 'volatility surprise' to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10010821166
Saved in:
4
Cross-market
volatility index with Factor-DCC
Aboura, Sofiane
;
Chevallier, Julien
- In:
International review of financial analysis
42
(
2015
),
pp. 132-140
Persistent link: https://www.econbiz.de/10011573356
Saved in:
5
Cross-Market
Spillovers with 'Volatility Surprise'
Aboura, Sofiane
;
Chevallier, Julien
-
Université Paris-Dauphine (Paris IX)
-
2014
updating the concept of ‘volatility surprise’ to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10011205314
Saved in:
6
Volatility equicorrelation: A
cross-market
perspective
Chevallier, Julien
;
Aboura, Sofiane
-
Université Paris-Dauphine (Paris IX)
-
2014
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a
cross-market
…
Persistent link: https://www.econbiz.de/10010735785
Saved in:
7
Volatility equicorrelation: A
cross-market
perspective
Aboura, Sofiane
;
Chevallier, Julien
- In:
Economics Letters
122
(
2014
)
2
,
pp. 289-295
This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a
cross-market
…
Persistent link: https://www.econbiz.de/10010743746
Saved in:
8
Cross-market
volatility index with Factor-DCC
Aboura, Sofiane
;
Chevallier, Julien
-
Université Paris-Dauphine (Paris IX)
-
2014
This paper proposes a new empirical methodology for computing a
cross-market
volatility index – coined CMIX – based on …
Persistent link: https://www.econbiz.de/10010891145
Saved in:
9
Cross-market
spillovers with ‘volatility surprise’
Aboura, Sofiane
;
Chevallier, Julien
- In:
Review of Financial Economics
23
(
2014
)
4
,
pp. 194-207
updating the concept of ‘volatility surprise’ to capture
cross-market
relationships. Current methods for measuring spillovers …
Persistent link: https://www.econbiz.de/10011077890
Saved in:
10
Cross-market
spillovers with "volatility surprise"
Aboura, Sofiane
;
Chevallier, Julien
- In:
Review of financial economics : RFE
23
(
2014
)
4
,
pp. 194-207
Persistent link: https://www.econbiz.de/10010442564
Saved in:
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