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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Interpreting the effect of global economic risks on crude oil market : a supply-demand perspective
Hong, Yanran; Cao, Shijiao; Xu, Pengfei; Pan, Zhigang - In: International review of financial analysis 91 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014446982
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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The effects of sovereign rating drifts on financial return distributions : evidence from the European Union
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20
Persistent link: https://www.econbiz.de/10010520405
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Self-affinity in financial asset returns
Goddard, John; Onali, Enrico - In: International review of financial analysis 24 (2012), pp. 1-11
Persistent link: https://www.econbiz.de/10009688189
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Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Degiannakis, Stavros; Floros, Christos; Dent, Pamela - In: International review of financial analysis 27 (2013), pp. 21-33
Persistent link: https://www.econbiz.de/10009736952
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Dynamic efficiency and arbitrage potential in Bitcoin : a long-memory approach
Duan, Kun; Li, Zeming; Urquhart, Andrew; Ye, Jinqiang - In: International review of financial analysis 75 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012804143
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Long memory in financial markets : a heterogeneous agent model perspective
Zheng, Min; Liu, Ruipeng; Li, Youwei - In: International review of financial analysis 58 (2018), pp. 38-51
Persistent link: https://www.econbiz.de/10012006389
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Financial markets of the LAC region : does the crisis influence the financial integration?
Dias, Rui; Silva, Jacinto Vidigal da; Dionísio, … - In: International review of financial analysis 63 (2019), pp. 160-173
Persistent link: https://www.econbiz.de/10012207436
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Correlation and return dispersion dynamics in Chinese markets
Demirer, Rıza; Lien, Da-hsiang Donald - In: International review of financial analysis 14 (2005) 4, pp. 477-491
Persistent link: https://www.econbiz.de/10003117573