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Market volatility and momentum
Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91
Persistent link: https://www.econbiz.de/10011489219
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Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
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The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345
Persistent link: https://www.econbiz.de/10001375188
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
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Equity markets volatility clustering : a multiscale analysis of intraday and overnight returns
Zhao, Xiaojun; Zhang, Na; Zhang, Yali; Xu, Chao; Shang, … - In: Journal of empirical finance 77 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014578531
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Forecasting global stock market implied volatility indices
Degiannakis, Stavros; Filis, George; Hassani, Hossein - In: Journal of empirical finance 46 (2018), pp. 111-129
Persistent link: https://www.econbiz.de/10012103431
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Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection
Fang, Tong; Lee, Tae-hwy; Su, Zhi - In: Journal of empirical finance 58 (2020), pp. 36-49
Persistent link: https://www.econbiz.de/10012430452
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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