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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697

Persistent link: https://www.econbiz.de/10014465344

Oil price returns skewness and forecastability of international stock returns over one century of data

Salisu, Afees A.; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443111

Overreaction and underreaction to new information and the directional forecast of exchange rates

Semenov, Andrei - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-26

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Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Realized skewness and the short-term predictability for aggregate stock market volatility

Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163911

The information content of risk-neutral skewness for volatility forecasting

Byun, Suk Joon; Kim, Jun Sik - In: Journal of empirical finance 23 (2013), pp. 142-161

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Can volatility models explain extreme events?

Trapin, Luca - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 297-315

Persistent link: https://www.econbiz.de/10011987768

The price of BitCoin : GARCH evidence from high frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - 2018

This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional … Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and …, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically …

Persistent link: https://www.econbiz.de/10011948479

The price of Bitcoin : GARCH evidence from high-frequency data

Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava - In: The journal of investment strategies 9 (2020) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012598972

Stock return distribution and predictability : evidence from over a century of daily data on the DJIA index

Ge̜bka, Bartosz; Wohar, Mark E. - In: International review of economics & finance : IREF 60 (2019), pp. 1-25

Persistent link: https://www.econbiz.de/10012203668