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Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013332776
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
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Estimation of leverage effect : kernel function and efficiency
Yang, Xiye - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
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Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.; Zerilli, Paola; Chen, Liyuan - In: Energy economics 93 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
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A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
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Predicting stock realized variance based on an asymmetric robust regression approach
Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047
Persistent link: https://www.econbiz.de/10014435626
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model …The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …
Persistent link: https://www.econbiz.de/10011489480
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Microstructure and asset pricing : an insight on African frontier stock markets
Hikouatcha, Prince; Njamen Kengdo, Arsène Aurelien; … - In: Bulletin of economic research 75 (2023) 4, pp. 944-987
Persistent link: https://www.econbiz.de/10014435621
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781