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Multi-regime Forecasting Model for the Impact of COVID-19 Pandemic on Volatility in Global Equity Markets

Alan, Nazli Sila - 2020

Using a multi-regime forecasting model, we investigate the impact of COVID-19 pandemic on market volatility. We show … volatility and the GJR-GARCH volatility in global equity markets. We estimate realized volatilities using intraday 5-minute …

Persistent link: https://www.econbiz.de/10012828834

Long run volatility forecasting for individual stocks in a one factor model

Engle, Robert F.; Lee, Gary G. J. - 1993

Persistent link: https://www.econbiz.de/10000877958

Forecasting intraday volatility in the US equity market : multiplicative component GARCH

Engle, Robert F.; Sokalska, Magdalena E. - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 54-83

Persistent link: https://www.econbiz.de/10009519713

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Persistent link: https://www.econbiz.de/10012584099

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Persistent link: https://www.econbiz.de/10013040932

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …

Persistent link: https://www.econbiz.de/10012253083

Large dynamic covariance matrices : enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - In: Journal of banking & finance 138 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013461761

Hourly volatility spillovers between international equity markets

Susmel, Raul; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841632

Common volatility in international equity markets

Engle, Robert F.; Susmel, Raul - 1992

Persistent link: https://www.econbiz.de/10000841634

The term structure of risk, the role of known and unknown risks, and nonstationary distributions

Colacito, Riccardo; Engle, Robert F. - In: The known, the unknown, and the unknowable in financial …, (pp. 59-73). 2010

Persistent link: https://www.econbiz.de/10003991894

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