Search Results

Dynamically constructing user profiles with similarity-based online incremental clustering

Authors: Shtykh, Roman Y.; Jin, Qun

Source: International Journal of Advanced Intelligence Paradigms, Volume 1, Number 4, 25 June 2009 , pp. 377-397(21)

Publisher: Inderscience Publishers

Effect of 9/11 on the conditional time-varying equity risk premium: evidence from developed markets

Authors: Haque, Mahfuzul; Kouki, Imen

Source: The Journal of Risk Finance Incorporating Balance Sheet, Volume 10, Number 3, 2009 , pp. 261-276(16)

Publisher: Emerald Group Publishing Limited

Time-varying asset allocation across hedge fund indices

Authors: Switzer, Lorne N; Omelchak, Andrey

Source: Journal of Derivatives & Hedge Funds, Volume 15, Number 1, May 2009 , pp. 70-85(16)

Publisher: Palgrave Macmillan

Do daily retail gasoline prices adjust asymmetrically?

Authors: Bettendorf, L.; van der Geest, S. A.; Kuper, G. H.

Source: Journal of Applied Statistics, Volume 36, Number 4, April 2009 , pp. 385-397(13)

Publisher: Routledge, part of the Taylor & Francis Group

Stock market volatility and weak-form efficiency: evidence from an emerging market

Authors: Hameed, Abid; Ashraf, Hammad

Source: International Journal of Business and Emerging Markets, Volume 1, Number 3, 23 February 2009 , pp. 249-263(15)

Publisher: Inderscience Publishers

Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures

Authors: Laurini, Fabrizio; Tawn, Jonathan

Source: Econometric Reviews, Volume 28, Numbers 1-3, January 2009 , pp. 146-169(24)

Publisher: Taylor and Francis Ltd

Autoregressive conditional moments in VaR estimate with Gram-Charlier and Cornish-Fisher expansions

Author: Russo, Vincenzo

Source: International Journal of Risk Assessment and Management, Volume 11, Numbers 1-2, 22 December 2008 , pp. 67-87(21)

Publisher: Inderscience Publishers

Financial markets in the laboratory: an experimental analysis of some stylized facts

Author: Morone, Andrea

Source: Quantitative Finance, Volume 8, Number 5, August 2008 , pp. 513-532(20)

Publisher: Routledge, part of the Taylor & Francis Group

ARFIMAX and ARFIMAX-TARCH realized volatility modeling

Author: Degiannakis, Stavros

Source: Journal of Applied Statistics, Volume 35, Number 10, 2008 , pp. 1169-1180(12)

Publisher: Routledge, part of the Taylor & Francis Group

Hedging for multi-period downside risk in the presence of jump dynamics and conditional heteroskedasticity

Authors: Lee, Ming-Chih; Hung, Jui-Cheng

Source: Applied Economics, Volume 39, Number 18, October 2007 , pp. 2403-2412(10)

Publisher: Routledge, part of the Taylor & Francis Group

The Dynamics of Return Volatilty and Systematic Risk in International Real Estate Security Markets

Author: Liow, Kim Hiang

Source: Journal of Property Research, Volume 24, Number 1, March 2007 , pp. 1-29(29)

Publisher: Routledge, part of the Taylor & Francis Group

Price clustering in the CAC 40 index options market

Authors: Capelle-Blancard, Gunther; Chaudhury, Mo

Source: Applied Financial Economics, Volume 17, Number 15, October 2007 , pp. 1201-1210(10)

Publisher: Routledge, part of the Taylor & Francis Group

MEASURING RISK IN ENVIRONMENTAL FINANCE

Authors: Hoti, Suhejla; McAleer, Michael; Pauwels, Laurent L.

Source: Journal of Economic Surveys, Volume 21, Number 5, December 2007 , pp. 970-998(29)

Publisher: Blackwell Publishing

Prices are macro-observables! Stylized facts from evolutionary finance

Authors: Reimann, S.; Tupak, A.

Source: Computational Economics, Volume 29, Numbers 3-4, May 2007 , pp. 313-331(19)

Publisher: Springer

Financial Intermediaries and Interest Rate Risk: II

Author: Staikouras, Sotiris K.

Source: Financial Markets, Institutions & Instruments, Volume 15, Number 5, December 2006 , pp. 225-272(48)

Publisher: Blackwell Publishing

Risk and Return in the U.S. Housing Market: A Cross-Sectional Asset-Pricing Approach

Authors: Cannon, Susanne; Miller, Norman G.; Pandher, Gurupdesh S.

Source: Real Estate Economics, Volume 34, Number 4, Winter 2006 , pp. 519-552(34)

Publisher: Blackwell Publishing

Volatility clustering and event-induced volatility: Evidence from UK mergers and acquisitions

Authors: Balaban, Ercan; Constantinou, Charalambos

Source: The European Journal of Finance, Volume 12, Number 5, July 2006 , pp. 449-453(5)

Publisher: Routledge, part of the Taylor & Francis Group

A systematic modelling strategy for futures markets volatility

Authors: Carvalho, Ana Filipa; Costa, José Sá da; Lopes, José Assis

Source: Applied Financial Economics, Volume 16, Number 11, 1 July 2006 , pp. 819-833(15)

Publisher: Routledge, part of the Taylor & Francis Group

On a Mixture GARCH Time-Series Model

Authors: Zhang, Zhiqiang; Li, WaiKeung; Yuen, KamChuen

Source: Journal of Time Series Analysis, Volume 27, Number 4, July 2006 , pp. 577-597(21)

Publisher: Blackwell Publishing

PORTFOLIO INSURANCE AND VOLATILITY REGIME SWITCHING

Author: Vanden, Joel M.

Source: Mathematical Finance, Volume 16, Number 2, April 2006 , pp. 387-417(31)

Publisher: Blackwell Publishing