Narrow search
Showing 1 - 10 of 18,964
Cover Image
Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
Cover Image
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
Cover Image
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2010
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012763325
Cover Image
Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil
Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213
Persistent link: https://www.econbiz.de/10009779296
Cover Image
Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
Cover Image
A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10003823949
Cover Image
The Intraday Analysis of Volatility, Volume and Spreads : A Review with Applications to Futures Markets
Fantazzini, Dean - 2011
of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday …
Persistent link: https://www.econbiz.de/10013130773
Cover Image
Can volume predict Bitcoin returns and volatility? : a quantiles-based approach
Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Roubaud, David - In: Economic modelling 64 (2017), pp. 74-81
Persistent link: https://www.econbiz.de/10011756479
Cover Image
Asymmetric effect of trading volume on realized volatility
Maki, Daiki - In: International review of economics & finance : IREF 94 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10014582773
Cover Image
The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980