Skip to contents Derbali, Abdelkader [Author]; Naoui, Kamel [Author]; Ben Sassi, Mounir [Author]; Amiri, Mohamed Marouen [Author] Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Articles View online Schließen > Access https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. 2022 Published in: The Chinese economy ; 55(2022), 3, Seite 227-242 Rangel, Jose Gonzalo [Author]; Engle, Robert F. [Author] The factor-spline-GARCH model for high and low frequency correlations Books View online Schließen > Links http://hdl.handle.net/10419/83780 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Ciudad de México: Banco de México, 2009 Pesaran, Bahram [Author]; Pesaran, Mohammad Hashem [Author] Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash Books View online Schließen > Links http://hdl.handle.net/10419/38988 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Munich: Center for Economic Studies and ifo Institute (CESifo), 2010 Figueiredo, Antonio [Author]; Parhizgari, Ali M. [Author]; Dupoyet, Brice [Author] The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations Articles View online Schließen > Access Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. 2023 Published in: The European journal of finance ; 29(2023), 18, Seite 2128-2153 Sviščuk, Anatolij [Author]; Franco, Sebastian [Author] Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities Articles View online Schließen > Access Full access (via DOI) https://www.mdpi.com/2227-9091/11/9/162/pdf?version=1694180721 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. 2023 Published in: Risks ; 11(2023), 9 vom: Sept., Artikel-ID 162, Seite 1-22 Zhang, Xin [Author]; Creal, Drew [Author]; Koopman, Siem Jan [Author]; Lucas, Andre [Author] Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails Books View online Schließen > Links http://hdl.handle.net/10419/87070 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Amsterdam and Rotterdam: Tinbergen Institute, 2011 Hacihasanoglu, Erk [Author]; Rostom, Ahmed [Author]; Sensoy, Ahmet [Author] European Economic and Monetary Union Sovereign Debt Markets Books View online Schließen > Access http://hdl.handle.net/10986/21146 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. World Bank Group, Washington, DC, 2015 Published in: Policy Research Working Paper ; No. 7149 Dupoyet, Brice V. [Author] ; Parhizgari, Ali [Other]; Figueiredo, Antonio [Other] From Currency Volatilities to Global Equity Correlations Books View online Schließen > Access https://ssrn.com/abstract=3355787 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019] Han, Bing [Author] Stochastic Volatilities and Correlations of Bond Yields Books View online Schließen > Access https://ssrn.com/abstract=483624 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2005] Published in: Dice Center Working Paper ; No. 2003-27 Fouque, Jean-Pierre [Author] ; Pun, Chi Seng [Other]; Wong, Hoi Ying [Other] Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities Books View online Schließen > Access https://ssrn.com/abstract=2479796 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019] Zadourian, Rubina [Author]; Grassberger, Peter [Author] Asymmetry of cross-correlations between intra-day and overnight volatilities Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. EDP Science65224, 2017 Published in: epl 118(1), 18004 (2017). doi:10.1209/0295-5075/118/18004 Engle, Robert F. [Author] ; Figlewski, Stephen [Other] Modeling the Dynamics of Correlations Among Implied Volatilities Books View online Schließen > Access https://ssrn.com/abstract=2108358 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2015] Published in: The Review of Finance, Forthcoming Becker, Christoph [Author] ; Schmidt, Wolfgang M. [Other] Stressing Correlations and Volatilities – A Consistent Modeling Approach Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=1928975 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Becker, Christoph [Author] ; Schmidt, Wolfgang M. [Other] Stressing Correlations and Volatilities - A Consistent Modeling Approach Books View online Schließen > Access https://ssrn.com/abstract=1944050 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Published in: Paris December 2011 Finance Meeting EUROFIDAI - AFFI Swishchuk, Anatoliy V. [Author]; Franco, Sebastian [Author] Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities Books View online Schließen > Access https://ssrn.com/abstract=4537823 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2023] Steiner, Andreas [Author] How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations? Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=4220170 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2022 Pesaran, Bahram [Author]; Pesaran, M. Hashem [Author] Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=1000888 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2021] Published in: IZA Discussion Paper ; No. 2906 marchese, malvina [Author] ; Kyriakou, Ioannis [Other]; Tamvakis, Michael [Other]; Di Iorio, Francesca [Other] Forecasting Energy Price Volatilities and Correlations : New Evidence From Fractionally Integrated Multivariate Garch Models Books View online Schließen > Access https://ssrn.com/abstract=3544242 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2020] Published in: Energy Economics, Forthcoming Salvi, Giovanni [Author] ; Swishchuk, Anatoliy V. [Other] Covariance and Correlation Swaps for Financial Markets with Markov-Modulated Volatilities Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2103304 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2017] Tan, Chong Hui [Author] ; Ding, Ding [Other] Volatilities and Correlations in the Stock Market During the Global Financial Crisis Books View online Schließen > Access https://ssrn.com/abstract=2647814 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2016] Published in: 28th Australasian Finance and Banking Conference
Derbali, Abdelkader [Author]; Naoui, Kamel [Author]; Ben Sassi, Mounir [Author]; Amiri, Mohamed Marouen [Author] Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices? Articles View online Schließen > Access https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. 2022 Published in: The Chinese economy ; 55(2022), 3, Seite 227-242
> Access https://www.tandfonline.com/doi/pdf/10.1080/10971475.2021.1958453?needAccess=true Full access (via DOI) Show more show less
Rangel, Jose Gonzalo [Author]; Engle, Robert F. [Author] The factor-spline-GARCH model for high and low frequency correlations Books View online Schließen > Links http://hdl.handle.net/10419/83780 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Ciudad de México: Banco de México, 2009
Pesaran, Bahram [Author]; Pesaran, Mohammad Hashem [Author] Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash Books View online Schließen > Links http://hdl.handle.net/10419/38988 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Munich: Center for Economic Studies and ifo Institute (CESifo), 2010
Figueiredo, Antonio [Author]; Parhizgari, Ali M. [Author]; Dupoyet, Brice [Author] The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations Articles View online Schließen > Access Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. 2023 Published in: The European journal of finance ; 29(2023), 18, Seite 2128-2153
Sviščuk, Anatolij [Author]; Franco, Sebastian [Author] Pricing of averaged variance, volatility, covariance and correlation swaps with semi-markov volatilities Articles View online Schließen > Access Full access (via DOI) https://www.mdpi.com/2227-9091/11/9/162/pdf?version=1694180721 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. 2023 Published in: Risks ; 11(2023), 9 vom: Sept., Artikel-ID 162, Seite 1-22
> Access Full access (via DOI) https://www.mdpi.com/2227-9091/11/9/162/pdf?version=1694180721 Show more show less
Zhang, Xin [Author]; Creal, Drew [Author]; Koopman, Siem Jan [Author]; Lucas, Andre [Author] Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails Books View online Schließen > Links http://hdl.handle.net/10419/87070 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. Amsterdam and Rotterdam: Tinbergen Institute, 2011
Hacihasanoglu, Erk [Author]; Rostom, Ahmed [Author]; Sensoy, Ahmet [Author] European Economic and Monetary Union Sovereign Debt Markets Books View online Schließen > Access http://hdl.handle.net/10986/21146 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. World Bank Group, Washington, DC, 2015 Published in: Policy Research Working Paper ; No. 7149
Dupoyet, Brice V. [Author] ; Parhizgari, Ali [Other]; Figueiredo, Antonio [Other] From Currency Volatilities to Global Equity Correlations Books View online Schließen > Access https://ssrn.com/abstract=3355787 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019]
Han, Bing [Author] Stochastic Volatilities and Correlations of Bond Yields Books View online Schließen > Access https://ssrn.com/abstract=483624 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2005] Published in: Dice Center Working Paper ; No. 2003-27
Fouque, Jean-Pierre [Author] ; Pun, Chi Seng [Other]; Wong, Hoi Ying [Other] Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities Books View online Schließen > Access https://ssrn.com/abstract=2479796 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2019]
Zadourian, Rubina [Author]; Grassberger, Peter [Author] Asymmetry of cross-correlations between intra-day and overnight volatilities Articles View online Schließen > Access Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. EDP Science65224, 2017 Published in: epl 118(1), 18004 (2017). doi:10.1209/0295-5075/118/18004
Engle, Robert F. [Author] ; Figlewski, Stephen [Other] Modeling the Dynamics of Correlations Among Implied Volatilities Books View online Schließen > Access https://ssrn.com/abstract=2108358 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2015] Published in: The Review of Finance, Forthcoming
Becker, Christoph [Author] ; Schmidt, Wolfgang M. [Other] Stressing Correlations and Volatilities – A Consistent Modeling Approach Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=1928975 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011]
Becker, Christoph [Author] ; Schmidt, Wolfgang M. [Other] Stressing Correlations and Volatilities - A Consistent Modeling Approach Books View online Schließen > Access https://ssrn.com/abstract=1944050 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2011] Published in: Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Swishchuk, Anatoliy V. [Author]; Franco, Sebastian [Author] Pricing of Averaged Variance, Volatility, Covariance and Correlation Swaps with Semi-Markov Volatilities Books View online Schließen > Access https://ssrn.com/abstract=4537823 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2023]
Steiner, Andreas [Author] How Many Observations Should One Use When Calculating Historical Estimators for Expected Returns, Volatilities and Correlations? Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=4220170 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, 2022
Pesaran, Bahram [Author]; Pesaran, M. Hashem [Author] Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=1000888 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2021] Published in: IZA Discussion Paper ; No. 2906
marchese, malvina [Author] ; Kyriakou, Ioannis [Other]; Tamvakis, Michael [Other]; Di Iorio, Francesca [Other] Forecasting Energy Price Volatilities and Correlations : New Evidence From Fractionally Integrated Multivariate Garch Models Books View online Schließen > Access https://ssrn.com/abstract=3544242 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2020] Published in: Energy Economics, Forthcoming
Salvi, Giovanni [Author] ; Swishchuk, Anatoliy V. [Other] Covariance and Correlation Swaps for Financial Markets with Markov-Modulated Volatilities Books View online Schließen > Access Full access (via DOI) https://ssrn.com/abstract=2103304 Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2017]
Tan, Chong Hui [Author] ; Ding, Ding [Other] Volatilities and Correlations in the Stock Market During the Global Financial Crisis Books View online Schließen > Access https://ssrn.com/abstract=2647814 Full access (via DOI) Show more show less Close > Bookmarks You can manage bookmarks using lists, please log in to your user account for this. [S.l.]: SSRN, [2016] Published in: 28th Australasian Finance and Banking Conference
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