Similar Search Results

Realized volatility transmission : the role of jumps and leverage effects

Souček, Michael; Todorova, Neda - In: Economics letters 122 (2014) 2, pp. 111-115

Persistent link: https://www.econbiz.de/10010395278

Realized volatility transmission: The role of jumps and leverage effects

Souček, Michael; Todorova, Neda - In: Economics Letters 122 (2014) 2, pp. 111-115

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex...

Persistent link: https://www.econbiz.de/10011041795

The asymmetric volatility in the gold market revisited

Todorova, Neda - In: Economics letters 150 (2017), pp. 138-141

Persistent link: https://www.econbiz.de/10011765084

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?

Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645

Persistent link: https://www.econbiz.de/10012415313

Forecasting stock volatility using after-hour information : evidence from the Australian Stock Exchange

Jayawardena, Nirodha I.; Todorova, Neda; Li, Bin; Su, Jen-je - In: Economic modelling 52 (2016), pp. 592-608

Persistent link: https://www.econbiz.de/10011642932