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1
Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas
;
Segnon, Mawuli
;
Gupta, Rangan
- In:
Energy economics
56
(
2016
),
pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
Saved in:
2
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
3
Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Jammazi, Rania
;
Tiwari, Aviral Kumar
;
Ferrer, Román
; …
- In:
The North American journal of economics and finance : a …
33
(
2015
),
pp. 74-93
Persistent link: https://www.econbiz.de/10011534370
Saved in:
4
Can skewed GARCH-Type distributions improve volatility forecasts during global financial crisis?
Yang, Jack J. W.
;
Li, Chien-Tsung
- In:
The international journal of business and finance …
11
(
2017
)
2
,
pp. 39-50
Persistent link: https://www.econbiz.de/10011790401
Saved in:
5
The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy
-
2002
-
Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
Saved in:
6
Time-varying
correlation
between oil and stock market volatilities : evidence from oil-importing and oil-exporting countries
Boldanov, Rustam
;
Degiannakis, Stavros
;
Filis, George
- In:
International review of financial analysis
48
(
2016
),
pp. 209-220
Persistent link: https://www.econbiz.de/10011624489
Saved in:
7
Nonlinear dynamic
correlation
between geopolitical risk and oil prices : a study based on high-frequency data
Huang, Jianbai
;
Ding, Qian
;
Zhang, Hongwei
;
Guo, Yaoqi
; …
- In:
Research in international business and finance
56
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013266166
Saved in:
8
Relationship between different sources of geopolitical risks and stock markets in the GCC region : a dynamic
correlation
analysis
Alqahtani, Abdullah
;
Hammoudeh, Shawkat
;
Selmi, Refk
- In:
Review of behavioral finance : RBF
14
(
2022
)
2
,
pp. 296-316
Persistent link: https://www.econbiz.de/10013286629
Saved in:
9
Identifying Sources of
Correlation
in Global Equity Portfolios (September 2010)
Inc., MSCI
-
2010
show how the
correlation
(covariance) information can be aggregated into groups, such as diagonal and off-diagonal blocks …
Persistent link: https://www.econbiz.de/10013136076
Saved in:
10
Testing constancy of
correlation
with an application to international equity returns
Bera, Anil K.
;
Kim, Sangwhan
-
1996
Persistent link: https://www.econbiz.de/10000959739
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