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Asymmetric implied market volatility and terrorist attacks

Bevilacqua, Mattia; Morelli, David; Uzan, Paola Sultana … - In: International review of financial analysis 67 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012299223

Capital asset pricing model on UK securities using ARCH

Morelli, David - In: Applied financial economics 13 (2003) 3, pp. 211-223

Persistent link: https://www.econbiz.de/10001742873

The relationship between conditional stock market volatility and conditional macroeconomic volatility empirical evidence based on UK data

Morelli, David - In: International review of financial analysis 11 (2002) 1, pp. 101-110

Persistent link: https://www.econbiz.de/10001745214

Momentum profits and conditional time-varying systematic risk

Morelli, David - In: Journal of international financial markets, … 29 (2014), pp. 242-255

Persistent link: https://www.econbiz.de/10010412145

Asymmetric volatility spillovers between developed and developing European countries

Bevilacqua, Mattia - 2018

This paper aims to examine the volatility spillovers among three asset classes, namely, equity, currency and credit among developed European countries and developing Central Eastern European countries in response to political, economic and financial events occurred in the Eurozone in the last...

Persistent link: https://www.econbiz.de/10011890791

Coherent risk measures under filtered historical simulation

Giannopoulos, Kostas; Tunaru, Radu - In: Journal of banking & finance 29 (2005) 4, pp. 979-996

Persistent link: https://www.econbiz.de/10002601087

Modeling volatility for the Chinese equity markets

Fabozzi, Frank J.; Tunaru, Radu; Wu, Tony - In: Annals of economics and finance 5 (2004) 1, pp. 79-92

Persistent link: https://www.econbiz.de/10002155277