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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization
Turatti, Douglas Eduardo; Mendes, Fernando Henrique de … - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436908
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Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
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Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
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A novel heavy tail distribution of logarithmic returns of cryptocurrencies
Quang Van Tran; Kukal, Jaromir - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013457574
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Calendar effects in Bitcoin returns and volatility
Kinateder, Harald; Papavassiliou, Vassilios G. - In: Finance research letters 38 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10012485376
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Global bond risk premia under falling stars
Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10014580460
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Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub - In: Finance research letters 55 (2023) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10014473319