Showing 1 - 10 of 1,004
Persistent link: https://www.econbiz.de/10012135913
Persistent link: https://www.econbiz.de/10013412450
Persistent link: https://www.econbiz.de/10011983585
Persistent link: https://www.econbiz.de/10011912395
Persistent link: https://www.econbiz.de/10011876398
Persistent link: https://www.econbiz.de/10012550051
Persistent link: https://www.econbiz.de/10011983719
degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …
Persistent link: https://www.econbiz.de/10010366935
Persistent link: https://www.econbiz.de/10015052820
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289