Lisi, Francesco Testing asymmetry in financial time series. (English) Zbl 1155.91389 Quant. Finance 7, No. 6, 687-696 (2007). MSC: 91B28 91B84 × Cite Format Result Cite Review PDF Full Text: DOI Link
Aloui, Chaker Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period. (English) Zbl 1154.91607 Quant. Finance 7, No. 6, 669-685 (2007). MSC: 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Chiang, Thomas C.; Tan, Lin; Li, Huimin Empirical analysis of dynamic correlations of stock returns: Evidence from Chinese A-share and B-share markets. (English) Zbl 1151.91715 Quant. Finance 7, No. 6, 651-667 (2007). MSC: 91B84 91B28 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Muga, Luis; Santamaría, Rafael The momentum effect: Omitted risk factors or investor behaviour? Evidence from the Spanish stock market. (English) Zbl 1151.91723 Quant. Finance 7, No. 6, 637-650 (2007). MSC: 91B84 91B28 × Cite Format Result Cite Review PDF Full Text: DOI Link
Jaschke, Stefan; Stahl, Gerhard; Stehle, Richard Value-at-risk forecasts under scrutiny - the German experience. (English) Zbl 1154.91506 Quant. Finance 7, No. 6, 621-636 (2007). MSC: 91B30 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Kawata, Ryohei; Kijima, Masaaki Value-at-risk in a market subject to regime switching. (English) Zbl 1151.91574 Quant. Finance 7, No. 6, 609-619 (2007). MSC: 91B30 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Bellini, Fabio; Figà-Talamanca, Gianna Conditional tail behaviour and Value at Risk. (English) Zbl 1151.91563 Quant. Finance 7, No. 6, 599-607 (2007). MSC: 91B30 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Catalán, Beatriz; Trívez, F. Javier Forecasting volatility in GARCH models with additive outliers. (English) Zbl 1151.91714 Quant. Finance 7, No. 6, 591-596 (2007). MSC: 91B84 91B28 × Cite Format Result Cite Review PDF Full Text: DOI
Bochud, Thierry; Challet, Damien Optimal approximations of power laws with exponentials: Application to volatility models with long memory. (English) Zbl 1151.91484 Quant. Finance 7, No. 6, 585-589 (2007). MSC: 91B28 × Cite Format Result Cite Review PDF Full Text: DOI Link