Browsing Working Papers by Subject "C10"

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Browsing Working Papers by Subject "C10"

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    Title: Exponential GARCH Modeling with Realized Measures of Volatility  Author(s): HANSEN, Peter Reinhard; HUANG, Zhuo Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...
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    Title: Correlation Breakdown and Extreme Dependence in Emerging Equity Markets  Author(s): BEKIROS, Stelios D.; GEORGOUTSOS, Dimitris A. Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This study investigates the dependence structure of extreme realization of returns between the mature markets of Japan and the U.S. and the emerging markets of Cyprus, Greece and that of six Asia- Pacific counties, with ...