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How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?
Slimane, Faten Ben; Mehanaoui, Mohamed; Kazi, Irfan Akbar - In: International Journal of Financial Studies 1 (2013) 3, pp. 81-101
The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavior and interdependence through the study of...
Persistent link: https://www.econbiz.de/10011029804
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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High frequency vs. daily resolution: The economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011819006
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Improve volatility forecasting with realized semivariance-evidences from intra-day large data sets in Chinese
Yin, Lianqian; Liu, Bo; Du, Zhen - In: International journal of economics and finance 6 (2014) 12, pp. 64-70
Persistent link: https://www.econbiz.de/10010460882
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Endogenous and exogenous volatility in the foreign exchange market
Bargigli, Leonardo; Cifarelli, Giulio - 2020
Persistent link: https://www.econbiz.de/10012517831
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Weak diffusion limit of real-time GARCH models : the role of current return information
Ding, Yashuang - 2020
Persistent link: https://www.econbiz.de/10013206474
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High frequency vs. daily resolution : the economic value of forecasting volatility models 2nd ed
Lilla, Francesca - 2017
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011674479
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High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca - 2016
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011730304
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Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations
Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001
We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high … not exist. In particular, we consider estimation in this way of an ARCH approximation, and obtain GARCH parameters by a … estimés des paramètres des modèles GARCH pour les rendements financiers journaliers, qui sont obtenus à l'aide des données …
Persistent link: https://www.econbiz.de/10005100771
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Monitoring for Disruptions in Financial Markets
Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004
Historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes are studied. These tests are used to monitor the conditional variance of asset returns and to provide early information regarding instabilities or disruptions in financial risk. Data-driven monitoring...
Persistent link: https://www.econbiz.de/10005100955