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Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632
Persistent link: https://www.econbiz.de/10003025394
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A linearized value-at-risk model with transaction costs and short selling
Yu, Jing-Rung; Chiou, Wan-jiun Paul; Mu, Da-Ren - In: European journal of operational research : EJOR 247 (2015) 3, pp. 872-878
Persistent link: https://www.econbiz.de/10011386345
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Transaction costs and price volatility : new evidence from the Tokyo stock exchange
Liu, Shinhua; Zhu, Zhen - In: Journal of financial services research : JFSR 36 (2009) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10003870093
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A conditional variance model for daily stock returns in China's emerging stock markets : empirical evidence on the Shanghai and Shenzhen exchanges
Yu, Qiao - In: Journal of international financial markets, … 6 (1996) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10001498289
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Autoregressive conditional skewness
Harvey, Campbell R.; Siddique, Akhtar R. - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 4, pp. 465-487
Persistent link: https://www.econbiz.de/10001436379
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Oil price shocks and stock market activity
Sadorsky, Perry A. - In: Energy economics 21 (1999) 5, pp. 449-469
Persistent link: https://www.econbiz.de/10001405329
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824
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Modelling conditional heteroskedasticity : application to the "IBEX-35" stock-return index
León Valle, Ángel Manuel; Mora, Juan - In: Spanish economic review : SER 1 (1999) 3, pp. 215-238
Persistent link: https://www.econbiz.de/10001463551
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A permanent and transitory component model of stock return volatility
Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]
Persistent link: https://www.econbiz.de/10000877975
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GARCH modelling of individual stock data : the impact of censoring, firm size and trading volume
Brooks, Robert; Faff, Robert W.; Fry, Tim R. L. - In: Journal of international financial markets, … 11 (2001) 2, pp. 215-222
Persistent link: https://www.econbiz.de/10001575257