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Sovereign bond markets and financial volatility dynamics : panel-GARCH evidence for six euro area countries
Ribeiro, Pedro Pires; Cermeño, Rodolfo; Curto, José Dias - In: Finance research letters 21 (2017), pp. 107-114
Persistent link: https://www.econbiz.de/10011807517
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The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility : an expanded APARCH model
Curto, José Dias; Serrasqueiro, Pedro - In: Finance research letters 46 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013341276
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A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Curto, José Dias; Tomaz, João; Pinto, José Castro - In: Portuguese Economic Journal 8 (2009) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10005178812