recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the … but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this … covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the … indicate that the volatility of stock market returns is increased in all cases examined. …

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …