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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano; Khanom, Najrin - In: International review of economics & finance : IREF 82 (2022), pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
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Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of financial econometrics 21 (2023) 5, pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
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International stock market volatility : a global tail risk sight
Lu, Xinjie; Zeng, Qing; Zhong, Juandan; Zhu, Bo - In: Journal of international financial markets, … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
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Does country risks predict stock returns and volatility? : evidence from a nonparametric approach
Suleman, Tahir; Gupta, Rangan; Balcilar, Mehmet - In: Research in international business and finance 42 (2017), pp. 1173-1195
Persistent link: https://www.econbiz.de/10011760918
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
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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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Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
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Forecasting value at risk with intra-day return curves
Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181