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Equity market volatility and expected risk premium

Chen, Long (contributor); Guo, Hui (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003739618

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock price indexes. Forecasts produced by each...

Persistent link: https://www.econbiz.de/10011598042

Economic policy uncertainty and stock market volatility : a causality check

Raunig, Burkhard - 2021

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Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics

Kundu, Srikanta; Paul, Amartya - 2021

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A view from outside: sovereign CDS volatility as an Indicator of economic uncertainty

Böck, Maximilian; Feldkircher, Martin; Raunig, Burkhard - 2021

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Stock return volatility patterns in India

Batra, Amita (contributor) - 2004

Persistent link: https://www.econbiz.de/10002584397

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

Persistent link: https://www.econbiz.de/10011410916

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

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On the invertibility of EGARCH

Martinet, Guillaume Gaetan; McAleer, Michael - 2014

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A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - 2014

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