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Volatility in cereal prices : intra- versus inter-annual volatility
Ott, Hervé - In: Journal of agricultural economics 65 (2014) 3, pp. 557-578
Persistent link: https://www.econbiz.de/10010467381
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Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Granger, C. W. J.; Sin, Chor-yiu - 1999
Persistent link: https://www.econbiz.de/10001395202
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Clarifying the response of gold return to financial indicators : an empirical comparative analysis using ordinary least squares, robust and quantile regressions
Miyazaki, Takashi - In: Journal of risk and financial management : JRFM 12 (2019) 1/33, pp. 1-18
In this study, I apply a quantile regression model to investigate how gold returns respond to changes in various financial indicators. The model quantifies the asymmetric response of gold return in the tails of the distribution based on weekly data over the past 30 years. I conducted a...
Persistent link: https://www.econbiz.de/10012022330
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Testing explosive bubbles with time-varying volatility
Harvey, David I.; Leybourne, Stephen James; Zu, Yang - In: Econometric reviews 38 (2019) 10, pp. 1131-1151
Persistent link: https://www.econbiz.de/10012181398
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Modelling the absolute returns of different stock indices : exploring the forecastability of an alternative measure of risk
Granger, C. W. J.; Sin, Chor-yiu - In: Journal of forecasting 19 (2000) 4, pp. 277-298
Persistent link: https://www.econbiz.de/10001504616
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Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface
Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919426
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Nonparametric estimation of structural change points in volatility models for time series
Chen, Gong-meng; Choi, Yoon K.; Zhou, Yong - In: Journal of econometrics 126 (2005) 1, pp. 79-114
Persistent link: https://www.econbiz.de/10002538638
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Volatilty smile by multilevel least square
Achdou, Yves; Pironneau, Olivier - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 619-643
Persistent link: https://www.econbiz.de/10001743194
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Least squares kernel smoothing of the implied volatility smile
Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009
Persistent link: https://www.econbiz.de/10003746018
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Testing for heteroskedastic mixture of ordinary least squares errors
Senarathne, Chamil W; Wei, Jianguo - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 73-91
Persistent link: https://www.econbiz.de/10012422500