Narrow search
Showing 1 - 10 of 22,696
Cover Image
Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information
Liang, Chao; Li, Yan; Ma, Feng; Wei, Yu - In: International review of financial analysis 75 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012804153
Cover Image
The role of oil futures intraday information on predicting US stock market volatility
Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74
This study investigates the role of oil futures price information on forecasting the US stock market volatility using … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …, considering the contemporaneous connection is useful to predict the US stock market volatility. Furthermore, these findings are …
Persistent link: https://www.econbiz.de/10013206077
Cover Image
The effect of non-trading days on volatility forecasts in equity markets
Lyócsa, Štefan; Molnár, Peter - In: Finance research letters 23 (2017), pp. 39-49
Persistent link: https://www.econbiz.de/10011808350
Cover Image
Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets
Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146
Persistent link: https://www.econbiz.de/10012133635
Cover Image
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
Cover Image
Good, bad cojumps and volatility forecasting : new evidence from crude oil and the U.S. stock markets
Chen, Yixiang; Ma, Feng; Zhang, Yaojie - In: Energy economics 81 (2019), pp. 52-62
Persistent link: https://www.econbiz.de/10012172656
Cover Image
VIX and stock market volatility predictability : a new approach
Liu, Zhichao; Liu, Jing; Zeng, Qing; Wu, Lan - In: Finance research letters 48 (2022), pp. 1-5
Persistent link: https://www.econbiz.de/10013460221
Cover Image
Forecasting crude-oil market volatility : further evidence with jumps
Charles, Amélie; Darné, Olivier - In: Energy economics 67 (2017), pp. 508-519
Persistent link: https://www.econbiz.de/10011898005
Cover Image
Discovering the drivers of stock market volatility in a data-rich world
Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014245870
Cover Image
Global equity market volatility forecasting : new evidence
Liang, Chao; Wei, Yu; Lei, Likun; Ma, Feng - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 594-609
Persistent link: https://www.econbiz.de/10012814844