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Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries
Nonejad, Nima - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20
Persistent link: https://www.econbiz.de/10012203664
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Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions
Nonejad, Nima - In: Journal of forecasting 36 (2017) 6, pp. 718-740
Persistent link: https://www.econbiz.de/10011861413
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Long memory and structural breaks in realized volatility : an irreversible Markov switching approach
Nonejad, Nima - 2013
Persistent link: https://www.econbiz.de/10009782698
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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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Crude oil price volatility and equity return predictability : a comparative out-of-sample study
Nonejad, Nima - In: International review of financial analysis 71 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012436278
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Crude oil price volatility and short-term predictability of the real U.S. GDP growth rate
Nonejad, Nima - In: Economics letters 186 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012503762
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Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables
Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411
Persistent link: https://www.econbiz.de/10012608655
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Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions
Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009
Persistent link: https://www.econbiz.de/10012616915
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Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility
Nonejad, Nima - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013534202
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Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index : what forms of nonlinearity help improve forecast accuracy the most?
Nonejad, Nima - In: Finance research letters 46 (2022) 1, pp. 1-6
Persistent link: https://www.econbiz.de/10013341402