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Multivariate volatility forecasts for stock market indices
Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
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Forecasting global stock market volatility : the impact of volatility spillover index in spatial-temporal graph-based model
Son, Bumho; Lee, Yunyoung; Park, Seongwan; Lee, Jaewook - In: Journal of forecasting 42 (2023) 7, pp. 1539-1559
Persistent link: https://www.econbiz.de/10014432719
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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
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Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets
Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243
Persistent link: https://www.econbiz.de/10014232428
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The effect of spillover on volatility forecasting : an empirical study in Indian Stock Market
Karmakar, Madhusudan; Shukla, Girja Kant - In: Metamorphosis : a journal of management research 15 (2016) 1, pp. 20-30
Persistent link: https://www.econbiz.de/10011625682
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Improving volatility forecasts with GED-GARCH model: evidence from U.S. stock market
Giacalone, Massimiliano; Mattera, Raffaele; Cozzucoli, … - In: The empirical economics letters : a monthly … 18 (2019) 7, pp. 785-791
Persistent link: https://www.econbiz.de/10012315480
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Stock market volatility: Identifying major drivers and the nature of their impact
Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011543844
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …
Persistent link: https://www.econbiz.de/10011489480
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
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Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market
Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10011842038