Linkages between Shanghai and Hong Kong stock indices [PDF]
This paper examines the dynamics of the linkages between Shang- hai and Hong Kong stock indices. While the volatility linkage is anal- ysed by a multivariate GARCH framework, the linkage of returns is examined using a copula approach.
D Peel, I Paya, S Zhang
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Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management [PDF]
The missing wage rigidity in general equilibrium models of efficiency wages is an artifact of the external wage reference perspective conventionally adopted by the literature.
Jaroslava HLOUSKOVA +2 more
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Fonctions de perte appliquées au modèle de Black-Scholes : théorie et évidence empirique [PDF]
, 2008 Numéro de référence interne originel : a1.1 g ...
CHAMBRE, Damien
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Herding and feedback trading in cryptocurrency markets. [PDF]
Ann Oper Res, 2021 King T, Koutmos D.
europepmc +1 more source
The Euro and European Financial Market Integration [PDF]
We use a time-varying copula model to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003.
Stephen Taylor +2 more
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Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach. [PDF]
Entropy (Basel), 2020 Božović M.
europepmc +1 more source
Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives [PDF]
International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists ...
Bernardo da Veiga +2 more
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What Drives the Stock Market Integration in the CEE-3? [PDF]
, 2013 In this article, we study the possible explanatory power of macroeconomic factors that may drive the stock market integration between the Czech Republic, Poland and Hungary (CEE-3) and developed countries, using Germany as a benchmark.
Baumöhl, Eduard +2 more
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Elucidation of the Bovine Intramammary Bacteriome and Resistome from healthy cows of Swiss dairy farms in the Canton Tessin. [PDF]
Front Microbiol, 2023 Romanò A +14 more
europepmc +1 more source
Information Spillover, Volatility and the Currency Markets for the Binary Choice Model [PDF]
We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the
Christian M. Hafner, Walid Ben Omrane
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