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  • Search: subject:"Heterogeneous autoregressive (HAR) model"
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Year of publication
Subject
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Volatility 6 Volatilität 6 KOSPI 200 options 5 VIX 5 VKOSPI 5 heterogeneous autoregressive (HAR) model 5 implied volatility index 5 Börsenkurs 4 Forecasting model 4 Prognoseverfahren 4 Share price 4 ARCH model 3 ARCH-Modell 3 Aktienmarkt 3 Capital income 3 Heterogeneous autoregressive (HAR) model 3 Kapitaleinkommen 3 Stock market 3 Time series analysis 3 Zeitreihenanalyse 3 Estimation 2 Realized volatility 2 S&P 500 2 Schätzung 2 Theorie 2 Theory 2 Aktienindex 1 Analysis of variance 1 Bayesian MCMC methods 1 CAViaR model 1 Estimation theory 1 Expected shortfall 1 Financial crisis 1 Financial market 1 Finanzkrise 1 Finanzmarkt 1 Generalized autoregressive score (GAS) model 1 Heterogeneous Autoregressive (HAR) model 1 Index 1 Index number 1
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Online availability
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Undetermined 5 Free 4
Type of publication
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Article 5 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Working Paper 2 Arbeitspapier 1 Article 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 8 Undetermined 1
Author
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Han, Heejoon 5 Ryu, Doojin 5 Kutan, Ali M. 3 Kutan, Ali Mustafa 2 Baek, Changryong 1 Chen, Cathy W. S. 1 Cipollini, Fabrizio 1 Feng, Yiyun 1 Gallo, Giampiero M. 1 Guo, Chuan 1 Hsu, Hsiao-Yun 1 Kim, Dongwoo 1 Palandri, Alessandro 1 Watanabe, Toshiaki 1
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Institution
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Institut für Weltwirtschaft (IfW) 1
Published in...
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Applied economics letters 1 Economics : the open-access, open-assessment e-journal 1 Economics : the open-access, open-assessment journal 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics: The Open-Access, Open-Assessment E-Journal 1 Finance research letters 1 Journal of financial econometrics 1 Journal of risk 1
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Source
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ECONIS (ZBW) 6 EconStor 2 RePEc 1
Showing 1 - 9 of 9
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Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
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Forecasting the realized volatility of stock markets with financial stress
Guo, Chuan; Feng, Yiyun - In: Journal of risk 25 (2022) 1, pp. 23-48
Persistent link: https://www.econbiz.de/10013549680
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Factor-augmented HAR model improves realized volatility forecasting
Kim, Dongwoo; Baek, Changryong - In: Applied economics letters 27 (2020) 12, pp. 1002-1009
Persistent link: https://www.econbiz.de/10012267030
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Realized variance modeling : decoupling forecasting from estimation
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - In: Journal of financial econometrics 18 (2020) 3, pp. 532-555
Persistent link: https://www.econbiz.de/10012316698
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Effects of the US stock market return and volatility on the VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - In: Economics: The Open-Access, Open-Assessment E-Journal 9 (2015) 2015-35, pp. 1-34
The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...
Persistent link: https://www.econbiz.de/10011379844
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Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - 2015
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...
Persistent link: https://www.econbiz.de/10010478805
Saved in:
Cover Image
Modeling and predicting the market volatility index : the case of VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...
Persistent link: https://www.econbiz.de/10010478493
Saved in:
Cover Image
Modeling and predicting the market volatility index: The case of VKOSPI
Han, Heejoon; Kutan, Ali M.; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2015
The KOSPI 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) macroeconomic and financial variables that...
Persistent link: https://www.econbiz.de/10011170357
Saved in:
Cover Image
Effects of the US stock market return and volatility on the VKOSPI
Han, Heejoon; Kutan, Ali Mustafa; Ryu, Doojin - 2015
The KOSPI (Korea Composite Stock Price Index) 200 options are one of the most actively traded derivatives in the world. This paper empirically examines (a) the statistical properties of the Korea's representative implied volatility index (VKOSPI) derived from the KOSPI 200 options and (b) the...
Persistent link: https://www.econbiz.de/10011376746
Saved in:
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