Quantile dependencies between discontinuities and time-varying rare disaster risks-Reference-Cited by-同舟云学术

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Quantile dependencies between discontinuities and time-varying rare disaster risks

Published:2020-08-25 Issue:10 Volume:27 Page:932-962
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Gkillas Konstantinos¹^ORCID,Floros Christos²,Suleman Muhammad Tahir³^ORCID

Affiliation:

1. Department of Business Administration, University of Patras, Patras, Greece

2. Department of Accounting & Finance, School of Management & Economics, Hellenic Mediterranean University, Heraklion, Greece

3. Department of Accounting and Finance, University of Otago, Dunedin, New Zealand

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

https://www.tandfonline.com/doi/pdf/10.1080/1351847X.2020.1809487

Reference77 articles.

1. Testing for jumps in a discretely observed process

2. Does realized skewness predict the cross-section of equity returns?

3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

4. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

5. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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