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The effect of price volatility on judgmental forecasts : the correlated response model

Sobolev, Daphne - In: International journal of forecasting 33 (2017) 3, pp. 605-617

Persistent link: https://www.econbiz.de/10011746193

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Bootstrapped nonlinear impulse-response analysis : the FTSE100 (UK) and the NDX100 (US) indices 2012-2021

Solibakke, Per Bjarte - In: International journal of computational economics and … 12 (2022) 1/2, pp. 197-221

Persistent link: https://www.econbiz.de/10012939622

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries

Nonejad, Nima - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012203664

Crude oil price volatility and equity return predictability : a comparative out-of-sample study

Nonejad, Nima - In: International review of financial analysis 71 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012436278

Intraday realised volatility forecasting and announcements

Vortelinos, Dimitrios I.; Gillas, Konstantinos Gkillas - In: International journal of banking, accounting and finance 9 (2018) 1, pp. 88-118

Persistent link: https://www.econbiz.de/10011955197

Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index : what forms of nonlinearity help improve forecast accuracy the most?

Nonejad, Nima - In: Finance research letters 46 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013341402

Forecasting major Asian exchange rates using a new semiparametric STAR model

Cai, Nan; Cai, Zongwu; Fang, Ying; Xu, Qiuhua - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 407-426

Persistent link: https://www.econbiz.de/10011287504

Forecast accuracy of a BVAR under alternative specifications of the zero lower bound

Berg, Tim Oliver - 2015

, estimated shrinkage, and no nonlinearity. Then I entertain alternative specifications of the zero lower bound: replace the … interest rate expectations to deal with the nonlinearity in the policy rate. Since the policy rate will remain low for some …

Persistent link: https://www.econbiz.de/10011306293

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