1

The growth-volatility nexus : new evidence from an augmented GARCH-M model

Trypsteen, Steven - In: Economic modelling 63 (2017), pp. 15-25

Persistent link: https://www.econbiz.de/10011813422

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2

Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model

Zhang, Heng-Guo; Su, Chi-Wei; Song, Yan; Qiu, Shuqi; … - In: Economic modelling 67 (2017), pp. 355-367

Persistent link: https://www.econbiz.de/10011813839

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3

Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis

Charfeddine, Lanouar - In: Economic modelling 53 (2016), pp. 354-374

Persistent link: https://www.econbiz.de/10011641058

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4

Modeling long memory volatility using realized measures of volatility : a realized HAR GARCH model

Huang, Zhuo; Liu, Hao; Wang, Tianyi - In: Economic modelling 52 (2016), pp. 812-821

Persistent link: https://www.econbiz.de/10011643050

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5

Information transmission between U.S. and China index futures markets : an asymmetric DCC GARCH approach

Hou, Yang; Li, Steven - In: Economic modelling 52 (2016), pp. 884-897

Persistent link: https://www.econbiz.de/10011643072

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6

On the study of contagion in the context of the subprime crisis : a dynamic conditional correlation-multivariate GARCH approach

Hemche, Omar; Jawadi, Fredj; Maliki, Samir B.; Cheffou, … - In: Economic modelling 52 (2016), pp. 292-299

Persistent link: https://www.econbiz.de/10011645655

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7

Volatility risk premium implications of GARCH option pricing models

Papantonis, Ioannis - In: Economic modelling 58 (2016), pp. 104-115

Persistent link: https://www.econbiz.de/10011647056

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8

Short selling constraints and stock returns volatility : empirical evidence from the German stock market

Bohl, Martin T.; Reher, Gerrit; Wilfling, Bernd - In: Economic modelling 58 (2016), pp. 159-166

Persistent link: https://www.econbiz.de/10011647079

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9

On oil-US exchange rate volatility relationships : an intraday analysis

Jawadi, Fredj; Louhichi, Waël; Ameur, Hachmi Ben; … - In: Economic modelling 59 (2016), pp. 329-334

Persistent link: https://www.econbiz.de/10011647852

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10

World gold prices and stock returns in China : insights for hedging and diversification strategies

Arouri, Mohamed El Hedi; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic modelling 44 (2015), pp. 273-282

Persistent link: https://www.econbiz.de/10011326226

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11

The course of realized volatility in the LME non-ferrous metal market

Todorova, Neda - In: Economic modelling 51 (2015), pp. 1-12

Persistent link: https://www.econbiz.de/10011475768

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12

Evaluation of realized multi-power variations in minimum variance hedging

Hung, Jui-Cheng - In: Economic modelling 51 (2015), pp. 672-679

Persistent link: https://www.econbiz.de/10011476357

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13

Sudden changes in extreme value volatility estimator : modeling and forecasting with economic significance analysis

Kumar, Dilip - In: Economic modelling 49 (2015), pp. 354-371

Persistent link: https://www.econbiz.de/10011439594

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14

Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market

Su, Jung-bin - In: Economic modelling 46 (2015), pp. 204-224

Persistent link: https://www.econbiz.de/10011436595

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15

Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market : the case of Turkey

Sensoy, Ahmet; Sobaci, Cihat - In: Economic modelling 43 (2014), pp. 448-457

Persistent link: https://www.econbiz.de/10010503016

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16

New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010478223

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17

Dynamic hedging strategy in incomplete market : evidence from Shanghai fuel oil futures market

Lin, Xiaoqiang; Chen, Qiang; Tang, Zhenpeng - In: Economic modelling 40 (2014), pp. 81-90

Persistent link: https://www.econbiz.de/10010425724

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18

Modeling volatility and conditional correlations between socially responsible investments, gold and oil

Sadorsky, Perry A. - In: Economic modelling 38 (2014), pp. 609-618

Persistent link: https://www.econbiz.de/10010418963

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19

Return and volatility transmission between oil prices and oil-exporting and oil-importing countries

Guesmi, Khaled; Fattoum, Salma - In: Economic modelling 38 (2014), pp. 305-310

Persistent link: https://www.econbiz.de/10010419073

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20

Stock market integration of emerging Asian economies : patterns and causes

Narayan, Seema; Sriananthakumar, S.; Islam, S. Z. - In: Economic modelling 39 (2014), pp. 19-31

Persistent link: https://www.econbiz.de/10010419505

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21

Macro fundamentals as a source of stock market volatility in China : a GARCH-MIDAS approach

Girardin, Eric; Joyeux, Roselyne - In: Economic modelling 34 (2013), pp. 59-68

Persistent link: https://www.econbiz.de/10010360615

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22

Long memory revisit in Chinese stock markets : based on GARCH-class models and multiscale analysis

Lin, Xiaoqiang; Fei, Fangyu - In: Economic modelling 31 (2013), pp. 265-275

Persistent link: https://www.econbiz.de/10009729114

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23

Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

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24

Correlations and volatility spillovers across commodity and stock markets : linking energies, food, and gold

Mensi, Walid; Beljid, Makram; Boubaker, Adel; Managi, … - In: Economic modelling 32 (2013), pp. 15-22

Persistent link: https://www.econbiz.de/10009760820

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25

Foreign exchange risk in a managed float regime : a case study of Pakistani rupee

Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417

Persistent link: https://www.econbiz.de/10010259786

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26

Modeling the volatility of futures return in rubber and oil : a Copula-based GARCH model approach

Li, Meng; Yang, Liang - In: Economic modelling 35 (2013), pp. 576-581

Persistent link: https://www.econbiz.de/10010336750

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27

The more contagion effect on emerging markets : the evidence of DCC-GARCH model

Celık, Sibel - In: Economic modelling 29 (2012) 5, pp. 1946-1959

Persistent link: https://www.econbiz.de/10009667034

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28

Structural breaks and GARCH models of stock return volatility : the case of South Africa

Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - In: Economic modelling 29 (2012) 6, pp. 2435-2443

Persistent link: https://www.econbiz.de/10009673703

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29

The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model

Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309

Persistent link: https://www.econbiz.de/10009673749

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30

Modelling the risk–return relation for the S&P 100 : the role of VIX

Kanas, Angelos - In: Economic modelling 29 (2012) 3, pp. 795-809

Persistent link: https://www.econbiz.de/10009545514

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31

The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis

Lee, Yuan-ming; Wang, Kuan-min - In: Economic modelling 28 (2011) 1/2, pp. 710-727

Persistent link: https://www.econbiz.de/10009269843

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32

Uncertainty in the public debt market and stochastic long-run growth

Tsintzos, Panagiotis; Dergiades, Theologos - In: Economic modelling 28 (2011) 1/2, pp. 67-73

Persistent link: https://www.econbiz.de/10009270052

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33

Semiparametric EGARCH model with the case study of China stock market

Yang, Hu; Wu, Xingcui - In: Economic modelling 28 (2011) 3, pp. 761-766

Persistent link: https://www.econbiz.de/10009270558

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34

Empirical analysis of jump dynamics, heavy-tails and skewness on value-at-risk estimation

Su, Jung-bin; Hung, Jui-cheng - In: Economic modelling 28 (2011) 3, pp. 1117-1130

Persistent link: https://www.econbiz.de/10009271254

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35

Modeling volatility with time-varying FIGARCH models

Belkhouja, Mustapha; Boutahary, Mohamed - In: Economic modelling 28 (2011) 3, pp. 1106-1116

Persistent link: https://www.econbiz.de/10009271257

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36

Can GARCH-class models capture long memory in WTI crude oil markets?

Wang, Yudong; Wu, Chongfeng; Wei, Yu - In: Economic modelling 28 (2011) 3, pp. 921-927

Persistent link: https://www.econbiz.de/10009271384

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37

Inflation targeting in Latin America : empirical analysis using GARCH models

Broto, Carmen - In: Economic modelling 28 (2011) 3, pp. 1424-1434

Persistent link: https://www.econbiz.de/10009272071

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38

The impact of interest rate and exchange rate volatility on banks' stock returns and volatility : evidence from Turkey

Kasman, Saadet; Vardar, Gülin; Tunç, Gökçe - In: Economic modelling 28 (2011) 3, pp. 1328-1334

Persistent link: https://www.econbiz.de/10009272163

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39

Return and volatility transmission between world oil prices and stock markets of the GCC countries

Arouri, Mohamed El Hedi; Lahiani, Amine; Nguyen, Duc Khuong - In: Economic modelling 28 (2011) 4, pp. 1815-1825

Persistent link: https://www.econbiz.de/10009272445

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40

House price dynamics, conditional higher-order moments, and density forecasts

Chang, Kuang-liang - In: Economic modelling 27 (2010) 5, pp. 1029-1039

Persistent link: https://www.econbiz.de/10008824917

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41

News and correlations of CEEC-3 financial markets

Büttner, David; Hayo, Bernd - In: Economic modelling 27 (2010) 5, pp. 915-922

Persistent link: https://www.econbiz.de/10008824941

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42

Inflation, inflation uncertainty and growth : are they related?

Fountas, Stilianos - In: Economic modelling 27 (2010) 5, pp. 896-899

Persistent link: https://www.econbiz.de/10008824945

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43

Volatility spill-overs in commodity spot prices : new empirical results

Dahl, Christian M.; Iglesias, Emma M. - In: Economic modelling 26 (2009) 3, pp. 601-607

Persistent link: https://www.econbiz.de/10003870631

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44

Market volatility and retail interest rate pass-through

Wang, Kuan-Min; Lee, Yuan-Ming - In: Economic modelling 26 (2009) 6, pp. 1270-1282

Persistent link: https://www.econbiz.de/10003923539

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45

Do macroeconomic variables have regime-dependent effects on stock return dynamics? : evidence from the Markov regime switching model

Chang, Kuang-Liang - In: Economic modelling 26 (2009) 6, pp. 1283-1299

Persistent link: https://www.econbiz.de/10003923540

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46

Evidence on the contrarian trading in foreign exchange markets

Wan, Jer-Yuh; Kao, Chung-Wei - In: Economic modelling 26 (2009) 6, pp. 1420-1431

Persistent link: https://www.econbiz.de/10003923598

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47

Central bank intervention, threshold effects and asymmetric volatility : evidence from the Japanese yen-US dollar foreign exchange market

Suardi, Sandy - In: Economic modelling 25 (2008) 4, pp. 628-642

Persistent link: https://www.econbiz.de/10003791238

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48

Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility

Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867

Persistent link: https://www.econbiz.de/10003800096

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49

Volatility in asset prices and long-run wealth effect estimates

Alexandre, Fernando; Baç~ao, Pedro; Gabriel, Vasco J. - In: Economic modelling 24 (2007) 6, pp. 1048-1064

Persistent link: https://www.econbiz.de/10003569086

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50

Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)/ C. C. Wu, Jack C. Lee

Wu, C. C.; Lee, Jack C. - In: Economic modelling 24 (2007) 2, pp. 329-349

Persistent link: https://www.econbiz.de/10003415673

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