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What makes a safe haven? : equity and currency returns for six OECD countries during the financial crisis

Min, Hong-ghi; McDonald, Judith Ann; Shin, Sang-Ook - In: Annals of economics and finance 17 (2016) 2, pp. 365-402

Persistent link: https://www.econbiz.de/10011656925

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

Three regime bivariate normal distribution : a new estimation method for co-value-at-risk, CoVaR

Choi, Ji-Eun; Shin, Dong-wan - In: The European journal of finance 25 (2019) 18, pp. 1817-1833

Persistent link: https://www.econbiz.de/10012207151

A study of volatility spillover across select foreign exchange rates in India using dynamic conditional correlations

Patnaik, Anuradha - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 28-47

Persistent link: https://www.econbiz.de/10010338354

How smooth is the stock market integration of CEE-3?

Baumöhl, Eduard; Lyócsa, Štefan - 2014

Persistent link: https://www.econbiz.de/10010412920

Combination hedging strategies for crude oil and dry bulk feight rates on the impacts of dynamic cross-market interaction

Sun, Xiaoling; Liu, Hailong; Zheng, Shiyuan; Chen, Shun - In: Maritime policy and management : MPM 45 (2018) 1/2, pp. 174-196

Persistent link: https://www.econbiz.de/10011879751

An analysis of major Moroccan domestic sectors interdependencies and volatility spillovers using multivariate GARCH models

El Jebari, Ouael; Hakmaoui, Abdelati - In: International journal of computational economics and … 10 (2020) 3, pp. 291-307

Persistent link: https://www.econbiz.de/10012271063

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - 2019

order to avoid excessive rebalancing. To achieve this, a new robust orthogonal GARCH model for a multivariate set of non … endowed with a univariate GARCH structure, while the remaining eigenvalues are kept constant over time. Joint maximum …

Persistent link: https://www.econbiz.de/10012134234

Dependency modeling and value-at-risk forecasts for financial portfolios

Berger, Theo - 2013

Persistent link: https://www.econbiz.de/10013432837

Estimating and using GARCH models with VIX data for option valuation

Kanniainen, Juho; Lin, Binghuan; Yang, Hanxue - In: Journal of Banking & Finance 43 (2014) C, pp. 200-211

This paper uses information on VIX to improve the empirical performance of GARCH models for pricing options on the S …

Persistent link: https://www.econbiz.de/10010777123