Browsing by Author "Márquez, M. Dolores"
Márquez, M. Dolores; Muñoz Gracia, María del Pilar (2008)
Restricted access - publisher's policyThis paper analyzes the multivariate volatility effects among the indexes returns time series of the main stock markets. We detect, applying cointegration techniques, relations of interdependence between these markets and ...
Muñoz Gracia, María del Pilar; Sánchez Espigares, Josep Anton; Márquez, M. Dolores (2013)
Restricted access - publisher's policy
Márquez, M. Dolores; Muñoz Gracia, María del Pilar; Martí Recober, Manuel; Acosta Argueta, Lesly María (Physica-Verlag, 2006)
Open AccessThe aim of this paper is to compare the forecasting performance of competing volatility models, in order to capture the asymmetric effect in the volatility. We focus on examining the relative out-of-sample forecasting ...