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Economic gains of realized volatility in the Brazilian stock market
Santos, Francisco; Garcia, Márcio Gomes Pinto; … - 2014
This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate … model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian … stocks. Comparing with traditional volatility methods, we find that economic gains associated with realized measures perform …
Persistent link: https://www.econbiz.de/10010402112
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Economic gains of realized volatility in the Brazilian stock market
Garcia, Márcio Gomes Pinto; Medeiros, Marcelo C.; … - In: Revista Brasileira de Finanças : RBFin 12 (2014) 3, pp. 319-349
Persistent link: https://www.econbiz.de/10011585234
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Which model performs better while forecasting stock market volatility? : answer for Dhaka Stock Exchange (DSE)
Abdullah, S. M.; Kabir, Mohammod Akbar; Jahan, Kawsar; … - In: Theoretical economics letters 8 (2018) 14, pp. 3203-3222
Persistent link: https://www.econbiz.de/10011955144
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Predicting stock market volatility using MODWT with HyFIS and FS.HGD models
Alenezy, Abdullah H.; Mohd Tahir Ismail; Sadam Al-Wadi; … - In: Risks : open access journal 11 (2023) 7, pp. 1-16
We enhance the precision of predicting daily stock market price volatility using the maximum overlapping discrete …
Persistent link: https://www.econbiz.de/10014335933
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Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data
Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of forecasting 42 (2023) 6, pp. 1309-1328
Persistent link: https://www.econbiz.de/10014338888
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Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets
Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71
Persistent link: https://www.econbiz.de/10014490993
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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How candlestick features affect the performance of volatility forecasts : evidence from the stock market
Su, Jung-bin - In: The European journal of finance 21 (2015) 4/6, pp. 486-506
Persistent link: https://www.econbiz.de/10010528953
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The predictive ability of consumer sentiment's volatility to the Malaysian stock market's volatility
Nathrah Yacob; Mahdzan, Nurul Shahnaz - In: Afro-Asian Journal of Finance and Accounting : AAJFA 4 (2014) 4, pp. 460-476
Persistent link: https://www.econbiz.de/10011457470
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Volatility dynamics and volatility forecasts of equity returns in BRIC countries
Romero, Alfredo A.; Kasibhatla, Krishna Moorti - In: The journal of business and economic studies 19 (2013) 1, pp. 52-70
Persistent link: https://www.econbiz.de/10009776446