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Forecasting volatility in the Chinese stock market under model uncertainty
Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234
Persistent link: https://www.econbiz.de/10010259459
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Economic policy uncertainty and the Chinese stock market volatility : novel evidence
Li, Tao; Ma, Feng; Zhang, Xuehua; Zhang, Yaojie - In: Economic modelling 87 (2020), pp. 24-33
Persistent link: https://www.econbiz.de/10012416291
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Does measurement error matter in volatility forecasting? : empirical evidence from the Chinese stock market
Wang, Yajing; Liang, Fang; Wang, Tianyi; Huang, Zhuo - In: Economic modelling 87 (2020), pp. 148-157
Persistent link: https://www.econbiz.de/10012416413
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The relationship between trading activity and stock market volatility : does the volume threshold matter?
Koubaa, Yosra; Slim, Skander - In: Economic modelling 82 (2019), pp. 168-184
Persistent link: https://www.econbiz.de/10012202914
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Economic modelling 58 (2016), pp. 580-587
Persistent link: https://www.econbiz.de/10011647569
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Xie, Wen-jie; Jiang, Zhi-qiang; Zhou, Wei-xing - In: Economic modelling 36 (2014), pp. 8-17
Persistent link: https://www.econbiz.de/10010412098
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Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis
Charfeddine, Lanouar - In: Economic modelling 53 (2016), pp. 354-374
Persistent link: https://www.econbiz.de/10011641058
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Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing
Liu, Min; Taylor, James W.; Choo, Wei Chong - In: Economic modelling 93 (2020), pp. 651-659
Persistent link: https://www.econbiz.de/10012430324