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Estimating VAR-MGARCH models in multiple steps
Carnero, M. Angeles; Eratalay, M. Hakan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 339-365
Persistent link: https://www.econbiz.de/10010384281
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Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets
Živkov, Dejan; Kovačević, Jelena; Stankov, Biljana; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 49-65
Persistent link: https://www.econbiz.de/10014288820
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Threshold linkages between volatility and trading volume : evidence from developed and emerging markets
Jawadi, Fredj; Ureche-Rangau, Loredana - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 313-333
Persistent link: https://www.econbiz.de/10009740776
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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
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The asymmetric reverting property of stock returns
Nam, Kiseok (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 4
Persistent link: https://www.econbiz.de/10001790050
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Forecasting stock market volatility with regime-switching GARCH models
Marcucci, Juri (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-53
Persistent link: https://www.econbiz.de/10003284325
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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GARCH for irregularly spaced financial data : the ACD-GARCH model
Ghysels, Eric (contributor); Jasiak, Joann (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 2 (1997) 4, pp. 133-149
Persistent link: https://www.econbiz.de/10001769687
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Can GARCH models capture long-range dependence?
Maheu, John M. (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10003283982
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Volatility and dependence in cryptocurrency and financial markets : a copula approach
Liu, Jinan; Serletis, Apostolos - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 1, pp. 119-149
Persistent link: https://www.econbiz.de/10014506890