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The role of economic and financial uncertainties in predicting commodity futures returns and volatility : evidence from a nonparametric causality-in-quantiles test
Bahloul, Walid; Balcilar, Mehmet; Cuñado Eizaguirre, Juncal - In: Journal of multinational financial management 45 (2018), pp. 52-71
Persistent link: https://www.econbiz.de/10012055774
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Does geopolitical risks predict stock returns and volatility of leading defense companies? : evidence from a nonparametric approach
Apergēs, Nikolaos; Bonato, Matteo; Gupta, Rangan; … - In: Defence and peace economics 29 (2018) 6, pp. 684-696
Persistent link: https://www.econbiz.de/10011957107
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Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno - 2018
Persistent link: https://www.econbiz.de/10012173996
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression
Nath, Harmindar B.; Brooks, Robert - In: International review of economics & finance : IREF 38 (2015), pp. 94-111
Persistent link: https://www.econbiz.de/10011572339
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Cross-sectional volatility index as a proxy for the VIX in an Asian market
Fadzil, Futeri Jazeilya Md; O’Hara, John G.; Wing Lon Ng - In: Cogent economics & finance 5 (2017) 1, pp. 1-15
We present a cross-sectional volatility index (CSV) applied to an Asian market as an alternative to the VIX. One … may be applied to measure the volatility when no derivatives market exists. We formulate this volatility index based on … observable and model-free volatility measures. We provide a statistical argument to support that an equally weighted measure of …
Persistent link: https://www.econbiz.de/10011884520
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The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data
Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146
Persistent link: https://www.econbiz.de/10012156567
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Prediction of risk : decoding the serial dependence of stock return volatility with copula
Zhu, Liang; Lim, Christine; Zhang, Jianlun - In: Journal of hospitality & tourism research : JHTR ; the … 45 (2021) 1, pp. 6-27
Persistent link: https://www.econbiz.de/10012426080
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379