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Semiparametric density forecasts of daily financial returns from intraday data
Hallam, Mark; Olmo, Jose - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 408-432
Persistent link: https://www.econbiz.de/10010351542
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Realized Volatility and Overnight Returns
Ahoniemi, Katja - 2016
No consensus has emerged on how to deal with overnight returns when calculating realized volatility in markets where … trading does not take place 24 hours a day. This paper explores several common volatility applications, investigating how the … chosen treatment of overnight returns affects the results. For example, the selection of the best volatility forecasting …
Persistent link: https://www.econbiz.de/10013008710
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Tales of tails : jumps in currency markets
Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29
Persistent link: https://www.econbiz.de/10012631807
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Nonlinear and time-varying risk premia
Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012607208
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Measuring nonlinear Granger causality in mean
Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333
Persistent link: https://www.econbiz.de/10011895015
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Does geopolitical risks predict stock returns and volatility of leading defense companies? : evidence from a nonparametric approach
Apergēs, Nikolaos; Bonato, Matteo; Gupta, Rangan; … - In: Defence and peace economics 29 (2018) 6, pp. 684-696
Persistent link: https://www.econbiz.de/10011957107
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Realized volatility and overnight returns
Ahoniemi, Katja; Lanne, Markku - 2010
Persistent link: https://www.econbiz.de/10008772096
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A Bayesian quantile time series model for asset returns
Griffin, Jim E.; Mitrodima, Gelly - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 16-27
Persistent link: https://www.econbiz.de/10012804077
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Nonparametric predictive regressions for stock return brediction
Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2019
Persistent link: https://www.econbiz.de/10012698837
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Overnight stock returns and realized volatility
Ahoniemi, Katja; Lanne, Markku - In: International journal of forecasting 29 (2013) 4, pp. 592-604
Persistent link: https://www.econbiz.de/10010212465