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A novel estimation of time-varying quantile correlation for financial contagion detection

Ye, Wuyi; Li, Mingge; Wu, Yuehua - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10014225731

On the phase dependence in time-varying correlations between time-series

Blasques, Francisco - 2013

Persistent link: https://www.econbiz.de/10010191407

Semiparametric conditional quantile models for financial returns and realized volatility

Žikeš, Filip; Jozef, Baruník - 2014

This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with … various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile … regressions for returns and heterogenous quantile autoregressions for realized volatility perform very well in capturing the …

Persistent link: https://www.econbiz.de/10010407475

Semi-parametric conditional quantile models for financial returns and realized volatility

Zikes, Filip; Barunik, Jozef - In: Journal of financial econometrics : official journal of … 14 (2016) 1, pp. 185-226

Persistent link: https://www.econbiz.de/10011588557

A semiparametric nonlinear quantile regression model for financial returns

Avdulaj, Krenar; Barunik, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10011650231

Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482

Persistent link: https://www.econbiz.de/10014444685

Country risk and the interaction between gold price and gold stock index return volatilities : evidence from the South African market

Vengesai, Edson; Rupande, Lorraine; Muguto, Hilary Tinotenda - In: International journal of trade and global markets 15 (2022) 1, pp. 32-41

Persistent link: https://www.econbiz.de/10012887877

An impact of bank rate and inflation rate on volatility of foreign exchange rate in India

Salehbhai, Fatemabibi Abubaker; Jariwala, Purnima … - In: International journal of public sector performance … 8 (2021) 1/2, pp. 54-66

Persistent link: https://www.econbiz.de/10012696728

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis

Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352

Persistent link: https://www.econbiz.de/10009615550

Modelling correlation dynamics of EMU sovereign debt markets during the recent turmoil

Babalos, Vassilios; Stavroyiannis, Stavros - In: Research in international business and finance 42 (2017), pp. 1021-1029

Persistent link: https://www.econbiz.de/10011760639