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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

Impacts of asymmetry on forecasting realized volatility in Japanese stock markets

Maki, Daiki; Ota, Yasushi - In: Economic modelling 101 (2021), pp. 1-9

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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets

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Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

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The impact of tail risk on stock market returns : the role of market sentiment

Chevapatrakul, Thanaset; Xu, Zhongxiang; Yao, Kai - In: International review of economics & finance : IREF 59 (2019), pp. 289-301

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Estimating Loss Functions of Experts

Franses, Philip Hans; Legerstee, Rianne; Paap, Richard - 2011

assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex … outcomes with those for statistical model-based forecasts of the same sales data. We find substantial evidence for asymmetry in …

Persistent link: https://www.econbiz.de/10010326488