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Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures
Liu, Hung-Chun; Chiang, Shu-mei; Cheng, Nick Ying-pin - In: International review of economics & finance : IREF 22 (2012) 1, pp. 78-91
Persistent link: https://www.econbiz.de/10009618705
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Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration
Hallerbach, Winfried G. - In: Applied financial economics 13 (2003) 4, pp. 287-294
Persistent link: https://www.econbiz.de/10001748451
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Managing financial risk in Chinese stock markets : option pricing and modeling under a multivariate threshold autoregression
Li, Johnny Siu-Hang; Ng, Andrew C.Y.; Chan, Wai-Sum - In: International review of economics & finance : IREF 40 (2015), pp. 217-230
Persistent link: https://www.econbiz.de/10011573584
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Terrorism and capital markets : the effects of the Madrid and London bomb attacks
Kollias, Chrēstos; Papadamou, Stephanos; Stagiannis, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 532-541
Persistent link: https://www.econbiz.de/10009303984
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Volatility transmission between gold and oil futures under structural breaks
Ewing, Bradley T.; Malik, Farooq - In: International review of economics & finance : IREF 25 (2013), pp. 113-121
Persistent link: https://www.econbiz.de/10009693332
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Improving the CARR model using extreme range estimators
Miralles Marcelo, José Luis; Miralles-Quirós, José Luis - In: Applied financial economics 23 (2013) 19/21, pp. 1635-1647
Persistent link: https://www.econbiz.de/10010259753
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Co-movements among major European exchange rates : a multivariate time-varying asymmetric approach
Tamakoshi, Go; Hamori, Shigeyuki - In: International review of economics & finance : IREF 31 (2014), pp. 105-113
Persistent link: https://www.econbiz.de/10010490436
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Interest-rate volatility and volatility transmission in nine Latin American countries
Hegerty, Scott W. - In: Applied financial economics 24 (2014) 13/15, pp. 927-937
Persistent link: https://www.econbiz.de/10010410391
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Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398
Persistent link: https://www.econbiz.de/10012692552
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The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis
Chen, Qiang; Gong, Yuting - In: International review of economics & finance : IREF 64 (2019), pp. 102-121
Persistent link: https://www.econbiz.de/10012322288