Search Results - subject:"Realized semivariance"

Volatility spillover among Japanese sectors in response to COVID-19

Shigemoto, Hideto; Morimoto, Takayuki - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-21

Japanese stock market are mainly driven by negative realized semivariance. These results are useful for asset allocation and …

Persistent link: https://www.econbiz.de/10014332679

Volatility spillover among Japanese sectors in response to COVID-19

Shigemoto, Hideto; Morimoto, Takayuki - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-21

Japanese stock market are mainly driven by negative realized semivariance. These results are useful for asset allocation and …

Persistent link: https://www.econbiz.de/10013471003

A new measure of realized volatility : inertial and reverse realized semivariance

Luo, Xin; Tao, Yunqing; Zou, Kai - In: Finance research letters 47 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013459886

Financial stability policy and downside risk in stock returns

Yang, Jianlei - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014581029

Forecasting stock market volatility : the sum of the parts is more than the whole

Gao, Shang; Zhang, Zhikai; Wang, Yudong; Zhang, Yaojie - In: Finance research letters 55 (2023) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10014473040

Time series momentum and reversal : intraday information from realized semivariance

Liu, Zhenya; Lu, Shanglin; Li, Bo; Wang, Shixuan - In: Journal of empirical finance 72 (2023), pp. 54-77

Persistent link: https://www.econbiz.de/10014476799

Stock market return predictability revisited : evidence from a new index constructing the oil market

Chen, Wang; Chevallier, Julien; Wang, Jiqian; Zhong, Juandan - In: Finance research letters 49 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013478846

Good volatility, bad volatility, and time series return predictability

Yu, Honghai; Hao, Xianfeng; Wang, Yudong - In: The European journal of finance 28 (2022) 6, pp. 571-595

Persistent link: https://www.econbiz.de/10013373294

Do Cryptocurrencies and Traditional Asset Classes Influence Each Other?

Kurka, Josef - 2017

Large stream of literature studies interconnectedness among various assets that are relevant in current global markets. Transmission of shocks between cryptocurrencies and traditional asset classes is, however, not understood at all, but should not be ignored due to increasing influence of...

Persistent link: https://www.econbiz.de/10011787318

Do cryptocurrencies and traditional asset classes influence each other?

Kurka, Josef - 2017

Persistent link: https://www.econbiz.de/10011763805

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