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Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model
Wu, Xinyu; Wang, Xiaona; Wang, Haiyun - In: Applied economics letters 28 (2021) 11, pp. 915-920
Persistent link: https://www.econbiz.de/10012589699
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Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability
Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964
Persistent link: https://www.econbiz.de/10014303607
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Realized volatility forecasting based on rolling SW-SVR method : evidence from CSI 300 index
Li, Hongliang; Qiao, Gaoxiu - In: Applied economics letters 30 (2023) 7, pp. 975-980
Persistent link: https://www.econbiz.de/10014303610
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Intraday return dynamics and volatility spillovers between NSE S&P CNX Nifty stock index and stock index futures
Pati, Pratap Chandra; Rajib, Prabina - In: Applied economics letters 18 (2011) 4/6, pp. 567-574
Persistent link: https://www.econbiz.de/10009233520
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Effect of uncertainty on U.S. stock returns and volatility : evidence from over eighty years of high-frequency data
Gupta, Rangan; Marfatia, Hardik A.; Olson, Eric - In: Applied economics letters 27 (2020) 16, pp. 1305-1311
Persistent link: https://www.econbiz.de/10012267127
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Sentiment's effect on the variance of stock returns
Olson, Eric; Nowak, Adam - In: Applied economics letters 27 (2020) 18, pp. 1469-1473
Persistent link: https://www.econbiz.de/10012315615
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Informational content of stock exchanges versus over-the-counter markets : the behaviour of stock indices around the Asian financial crisis in Japan and Korea
Wada, Kenji - In: Applied economics letters 11 (2004) 15, pp. 949-955
Persistent link: https://www.econbiz.de/10002507472
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Implied correlation indices and volatility forecasting
Fink, Holger Maria; Geppert, Sabrina - In: Applied economics letters 24 (2017) 7/9, pp. 584-588
Persistent link: https://www.econbiz.de/10011713025
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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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Asymmetric return patterns : evidence from 33 international stock market indices
Evans, Twm; McMillan, David G. - In: Applied economics letters 16 (2009) 7/9, pp. 775-779
Persistent link: https://www.econbiz.de/10003854963