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Volatility forecasting using hybrid GARCH Neural Network models : the case of the Italian stock market
Kartsonakis Mademlis, Dimitrios; Dritsakis, Nikolaos - In: International journal of economics and financial issues … 11 (2021) 1, pp. 49-60
Persistent link: https://www.econbiz.de/10012436893
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The impacts of climate policy uncertainty on stock markets : comparison between China and the US
Xu, Xin; Huang, Shupei; Lucey, Brian M.; An, Haizhong - In: International review of financial analysis 88 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014462184
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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Dynamic responses of major equity markets to the US fear index
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/156, pp. 1-23
This study examines the reaction of four major equity markets of the world to the US equity market fear index, i ….e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …
Persistent link: https://www.econbiz.de/10012173007
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Outlier detection based on discrete wavelet transform with application to Saudi stock market closed price series
Khudhayr A. Rashedi; Mohd Tahir Ismail; Sadam Al-Wadi; … - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 12, pp. 1-10
Persistent link: https://www.econbiz.de/10012671956
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Learning from history : volatility and financial crises
Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2018 - This version: January 2018
Persistent link: https://www.econbiz.de/10012204110
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Switching volatility in private international equity markets
Susmel, Raul - In: International journal of finance & economics : IJFE 5 (2000) 4, pp. 265-283
Persistent link: https://www.econbiz.de/10001539840
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Financial crises, macroeconomic variables, and long-run risk : an econometric analysis of stock returns correlations (2000 to 2019)
Tronzano, Marco - In: Journal of risk and financial management : JRFM 14 (2021) 3/127, pp. 1-25
, notably in the case of the world equity risk premium. Finally, long-run risks are detected in all asset portfolios including …
Persistent link: https://www.econbiz.de/10012486245
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Forecasting international equity market volatility : a new approach
Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457
Persistent link: https://www.econbiz.de/10013465704
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Forecasting global stock market volatilities : A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set
Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: International review of economics & finance : IREF 93 (2024) 2, pp. 673-711
Persistent link: https://www.econbiz.de/10014535603