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Forecasting in the presence of structural breaks and model uncertainty

Rapach, David E. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003731593

Structural breaks and GARCH models of exchange rate volatility

Rapach, David E.; Strauss, Jack - In: Journal of applied econometrics 23 (2008) 1, pp. 65-90

Persistent link: https://www.econbiz.de/10003682842

Stock Return Asymmetry : Beyond Skewness

Jiang, Lei - 2020

In this paper, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that greater upside asymmetries calculated using our...

Persistent link: https://www.econbiz.de/10012856008

Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information

Liang, Chao; Li, Yan; Ma, Feng; Wei, Yu - In: International review of financial analysis 75 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012804153

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

Li, Yan; Liang, Chao; Ma, Feng; Wang, Jiqian - In: Finance research letters 36 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484308

Which sentiment index is more informative to forecast stock market volatility? : evidence from China

Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437093

Long-term adjusted volatility : powerful capability in forecasting stock market returns

Qiu, Rui; Liu, Jing; Li, Yan - In: International review of financial analysis 86 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248427

A volatility model based on adaptive expectations : an improvement on the rational expectations model

Yao, Yuan; Zhao, Yang; Li, Yan - In: International review of financial analysis 82 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013431245

The role of model bias in predicting volatility : evidence from the US equity markets

Li, Yan; Luo, Lian; Liang, Chao; Ma, Feng - In: China finance review international 13 (2023) 1, pp. 140-155

Persistent link: https://www.econbiz.de/10014312248

Global financial stress index and long-term volatility forecast for international stock markets

Liang, Chao; Luo, Qin; Li, Yan; Luu Duc Toan Huynh - In: Journal of international financial markets, … 88 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014482967