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| Apr 05 2013 |
Maddalena Cavicchioli |
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On asymptotic properties of the QLM estimators for GARCH models |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 05 2013 |
Khaled Guesmi , Mohamed Hedi Arouri , Ilyes Abid and Frédéric Teulon |
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On the Determinants of Equity International Risk Premium: Are Emerging Zones Different? |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 22 2012 |
Gijsbert Suren and Guilherme Moura |
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Heteroskedastic Dynamic Factor Models: A Monte Carlo Study |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 08 2012 |
Mohamed El Hédi Arouri , Amine Lahiani and Duc Khuong Nguyen |
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Oil-stock volatility transmission, portfolio selection and hedging |
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Abstract Contact Information Citation Full Text - Note |
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| Aug 01 2012 |
Takuji Kinkyo |
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De facto exchange rate regimes in post-crisis Asia |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 23 2012 |
Paulo Sergio Ceretta , Marcelo Brutti Righi , Alexandre Silva Da costa and Fernanda Maria Muller |
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Quantiles autocorrelation in stock markets returns |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 03 2012 |
João Caldeira , Guilherme Moura and André A.P. Santos |
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Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 20 2012 |
Aymen Belgacem and Amine Lahiani |
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More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Mar 26 2012 |
Dimitrios P. Louzis , Spyros Xanthopoulos - Sissinis and Apostolos P. Refenes |
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Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 28 2011 |
Dean Fantazzini |
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Forecasting the Global Financial Crisis in the Years 2009-2010: Ex-post Analysis |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 09 2011 |
Chia Ricky Chee-Jiun and Lim Shiok Ye |
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Stock Market Anomalies in South Africa and its Neighbouring Countries |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 24 2011 |
Marcelo Brutti Righi and Paulo Sergio Ceretta |
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Analyzing the structural behavior of volatility in the Major European Markets during the Greek crisis |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 24 2011 |
Tolga Omay |
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The relationship between inflation, output growth, and their uncertainties:
Nonlinear Multivariate GARCH-M evidence |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Sep 12 2011 |
Khaled Guesmi |
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What Drives the Regional Integration of Emerging Stock Markets? |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 03 2011 |
Tran MANH Tuyen |
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Modeling Volatility Using GARCH Models: Evidence from Vietnam |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 13 2011 |
Marcelo Brutti Righi and Paulo Sérgio Ceretta |
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Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 05 2011 |
Virginie Coudert and Hélène Raymond-Feingold |
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Gold and financial assets: Are there any safe havens in bear markets? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| May 15 2011 |
Fardous Alom , Bert D Ward and Baiding Hu |
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Cross country mean and volatility spillover effects of food prices: multivariate GARCH analysis |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 10 2011 |
Khaled Guesmi |
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Time varying regional integration in emerging stock market |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 15 2011 |
Chaker Aloui Mr and Ben hamida Hela miss |
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Hurst's exponent behaviour, weak-form stock market efficiency
and financial liberalization: the Tunisian case
|
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Abstract Contact Information Citation Full Text - Note |
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| Jan 10 2011 |
Julien Chevallier |
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Anticipating correlations between EUAs and CERs: a Dynamic Conditional Correlation GARCH model |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 08 2010 |
Kamel malik Bensafta |
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Non-stationary Variance and Volatility Causality |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 03 2010 |
George Milunovich and Ronald Ripple |
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Crude Oil Volatility: Hedgers or Investors |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 16 2010 |
Dean Fantazzini |
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Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jul 12 2010 |
Tho D.Q. Nguyen and Jian Wu |
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Spillover impacts of the US macroeconomic news: Australian sectoral perspective |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2010 |
Julien Chevallier |
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Volatility forecasting of carbon prices using factor models |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 21 2010 |
Arouri Mohamed El Hédi and Jawadi Fredj |
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On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 16 2009 |
Jui-Cheng Hung , Ren-Xi Ni and Matthew C. Chang |
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The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500 |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Jun 05 2009 |
Ching-Chun Wei |
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An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return |
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Abstract Contact Information Citation Full Text - Note |
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| May 04 2009 |
Jim Lee |
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Food and Energy Prices in Core Inflation |
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Abstract Contact Information Citation Full Text - Note |
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| Apr 14 2009 |
Giam Quang Do , Michael Mcaleer and Songsak Sriboonchitta |
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Effects of international gold market on stock exchange volatility:
evidence from asean emerging stock markets
|
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Apr 01 2009 |
Anthony N Rezitis and Konstantinos S Stavropoulos |
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Modeling sheep supply response under asymmetric price volatility and cap reforms |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 28 2008 |
Wan-Hsiu Cheng |
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Overestimation in the Traditional GARCH Model During Jump Periods |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Oct 14 2008 |
William Shambora and Shamila Jayasuriya |
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The world is shrinking: Evidence for stock market convergence |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 10 2008 |
Ching-Chun Wei |
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The analysis of interest rate mean and volatility spillover to the industrial production index and stock markets: The case of China |
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Abstract Contact Information Citation Full Text - Note |
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| Oct 10 2008 |
Ching-Chun Wei |
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Multivariate GARCH modeling analysis of unexpected U.S. D, Yen and Euro-dollar to Reminibi volatility spillover to stock markets |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 07 2008 |
Venus Khim-Sen Liew , Ricky Chee-Jiun Chia and Syed Azizi Wafa Syed Khalid Wafa |
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Day-of-the-week effects in Selected East Asian stock markets |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 06 2008 |
Duc NGUYEN |
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An empirical analysis of structural changes in emerging market volatility |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 14 2007 |
Yen-Hsien Lee , Tung-Yueh Pai and Chien-Liang Chiu |
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Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad? |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Aug 02 2007 |
Venus Khim-Sen Liew , Wing-Keung Wong and Zhuo Qiao |
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Does the US IT stock market dominate other IT stock markets: Evidence from multivariate GARCH model |
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Abstract Contact Information Citation Full Text - Note |
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| Jun 15 2007 |
Yen-Hsien Lee and Chien-Liang Chiu |
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The Impact of the QFIIs Deregulation on Normal and Abnormal Information Transmission Between the Stock and Exchange rates in Taiwan |
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Abstract Contact Information Citation Full Text - Preliminary Result |
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| Dec 13 2005 |
Marco Barassi |
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On KPSS with GARCH errors |
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Abstract Contact Information Citation Full Text - Note |
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| Jan 28 2005 |
Yu Hsing |
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Application of the IS-MP-IA model to the German economy and policy implications |
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Abstract Contact Information Citation Full Text - Note |
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| Jul 07 2004 |
Jorge Belaire-Franch and Dulce Contreras |
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A power comparison among tests for time reversibility |
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Abstract Contact Information Citation Full Text - Note |
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| Mar 18 2004 |
AROURI Mohamed El Hedi |
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The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk. |
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Abstract Contact Information Citation Full Text - Note |
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| Nov 29 2003 |
Jérôme Fillol |
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Multifractality: Theory and Evidence an Application to the French Stock Market |
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Abstract Contact Information Citation Full Text - Note |
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| Sep 05 2002 |
Yi-Ting Chen |
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On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study |
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Abstract Contact Information Citation Full Text - Note |
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