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Volatility and time series econometrics : essays in honor of Robert Engle

Bollerslev, Tim (ed.); Engle, Robert F. (honouree); … - 2010 - 1. publ.

Persistent link: https://www.econbiz.de/10003861657

Mixed-frequency SV model for stock volatility and macroeconomics

Shang, Yuhuang; Zheng, Tingguo - In: Economic modelling 95 (2021), pp. 462-472

Persistent link: https://www.econbiz.de/10012696029

Macroeconomic fundamentals, jump dynamics and expected volatility

Pan, Zhiyuan; Bu, Ruijun; Liu, Li; Wang, Yudong - In: Quantitative finance 20 (2020) 8, pp. 1345-1371

Persistent link: https://www.econbiz.de/10012262666

Affine term structure model with macroeconomic factors : do no-arbitrage restriction and macroeconomic factors imply better out-of-sample forecasts?

Ullah, Wali - In: Journal of forecasting 35 (2016) 4, pp. 329-346

Persistent link: https://www.econbiz.de/10011580766

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility … volatility on these factors was examined. The empirical results confirmed the presence of the leverage effect and identified … multiple volatility switches associated with remarkable events like the GFC, the European debt crisis, the COVID-19 pandemic …

Persistent link: https://www.econbiz.de/10014636061