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The role of uncertainty in forecasting volatility comovements across stock markets

Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - In: Economic modelling 125 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463541

Dynamic effect of Bitcoin, fintech and artificial intelligence stocks on eco-friendly assets, Islamic stocks and conventional financial markets : another look using quantile-based approaches

Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Technological forecasting & social change : an … 192 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014443847

A multivariate Kernel approach to forecasting the variance covariance of stock market returns

Becker, Ralf; Clements, Adam; O'Neill, Robert - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27

This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...

Persistent link: https://www.econbiz.de/10011823257

International implied volatility risk indexes and Saudi stock return-volatility predictabilities

Tissaoui, Kais; Azibi, Jamel - In: The North American journal of economics and finance : a … 47 (2019), pp. 65-84

Persistent link: https://www.econbiz.de/10012117812

Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets

Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10013256597

The dynamic correlation between energy commodities and Islamic stock market : analysis and forecasting

Chebbi, Tarek; Derbali, Abdelkader - In: International journal of trade and global markets 8 (2015) 2, pp. 112-126

Persistent link: https://www.econbiz.de/10011412849

Does the US stock market information matter for European equity market volatility : a multivariate perspective?

Tang, Yusui; Ma, Feng; Wahab, M. I. M.; Wei, Yu - In: Applied economics 54 (2022) 58, pp. 6726-6743

Persistent link: https://www.econbiz.de/10013494246

Covariance forecasting in equity markets

Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168

Persistent link: https://www.econbiz.de/10011967197

Forecasting equity index volatility by measuring the linkage among component stocks

Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186

Persistent link: https://www.econbiz.de/10012878191

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063