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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

Predictive models for disaggregate stock market volatility

Chong, Terence Tai-Leung; Ling, Shiyun - In: Financial markets and portfolio management 31 (2017) 3, pp. 261-288

Persistent link: https://www.econbiz.de/10011951759

"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables

Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546

Persistent link: https://www.econbiz.de/10009710165

Measuring high-frequency causality between returns, realized volatility, and implied volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163

Persistent link: https://www.econbiz.de/10009519709

Cross-market information transmission and stock market volatility prediction

Wang, Yide; Chen, Zan; Ji, Xiaodong - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014485465

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

Persistent link: https://www.econbiz.de/10013128856