Similar Search Results

Asymmetric risk and return : evidence from the Australian Stock Exchange

Vo, Minh T.; Cohen, Michael; Boulter, Terry - In: Pacific-Basin finance journal 35 (2015) 2, pp. 558-573

Persistent link: https://www.econbiz.de/10011543740

Combining multivariate volatility forecasts: an economic-based approach

Caldeira, João F.; Moura, Guilherme Valle; Nogales, … - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 247-285

Persistent link: https://www.econbiz.de/10011987429

Forecasting global equity indices using large Bayesian VARs

Huber, Florian; Krisztin, Tamás; Piribauer, Philipp - 2014

Persistent link: https://www.econbiz.de/10010480996

Density forecasting using Bayesian global vector autoregressions with common stochastic volatility

Huber, Florian - 2014

Persistent link: https://www.econbiz.de/10010480999

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

A stochastic volatility model with a general leverage specification

Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689

Persistent link: https://www.econbiz.de/10013534044

Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry

Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013490951

Forecasting volatility of Saudi stock market (TASI) and sectoral indices

Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842

Persistent link: https://www.econbiz.de/10014434354

Modeling gasoline price volatility

Kamocsai, László; Ormos, Mihály - In: Finance research letters 73 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015210877

Time-varying mixture GARCH models and asymmetric volatility

Haas, Markus; Krause, Jochen; Paolella, Marc S.; … - In: The North American journal of economics and finance : a … 26 (2013), pp. 602-623

Persistent link: https://www.econbiz.de/10010370491