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Testing for non-correlation between price and volatility jumps

Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297

Persistent link: https://www.econbiz.de/10011818360

A multi-indicator multi-output mixed frequency sampling approach for stock index forecasting

Pan, Yuchen; Xiao, Zhi; Wang, Xianning; Yang, Daoli - In: Romanian journal of economic forecasting 22 (2019) 4, pp. 100-123

Persistent link: https://www.econbiz.de/10012420590

Price discovery in a continuous-time setting

Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, … - In: Journal of financial econometrics 19 (2021) 5, pp. 985-1008

Persistent link: https://www.econbiz.de/10012799058

Incorporating overnight and intraday returns into multivariate GARCH volatility models

Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495

Persistent link: https://www.econbiz.de/10012482817

Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model

Wu, Xinyu; Han, Yang; Ma, Chaoqun - In: Journal of risk 23 (2021) 6, pp. 1-35

Persistent link: https://www.econbiz.de/10013473133

The contribution of jump signs and activity to forecasting stock price volatility

Bu, Ruijun; Hizmeri, Rodrigo; Izzeldin, Marwan; Murphy, … - In: Journal of empirical finance 70 (2023), pp. 144-164

Persistent link: https://www.econbiz.de/10014423623

Exploring multisource high-dimensional mixed-frequency risks in the stock market : a group penalized reverse unrestricted mixed data sampling approach

Zhuo, Xingxuan; Luo, Shunfei; Cao, Yan - In: Journal of forecasting 44 (2025) 2, pp. 459-473

Persistent link: https://www.econbiz.de/10015374052

Excess stock returns and news : evidence from European markets

Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001244084

Excess Stock Returns and News : Evidence from European Markets

Malliaropulos, Dimitris - 2022

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

Persistent link: https://www.econbiz.de/10014236921

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008