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Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

The nexus between COVID-19 fear and stock market volatility

Li, Weiqing; Chien, Fengsheng; Hafiz Waqas Kamran; … - In: Economic research 35 (2022) 1,2, pp. 1765-1785

Persistent link: https://www.econbiz.de/10014380976

Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model

Khan, Yousaf Ali; Ahmad, Muneeb; Ahmad, Muhammad Munir - In: International journal of financial engineering 10 (2023) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014304236

Econometric Modelling of Stock Market Intraday Activity

Bauwens, Luc; Giot, Pierre - 2001

volatility and intraday Value-at-Risk. Although the models are applied to data for stock traded on the NYSE, they are not …

Persistent link: https://www.econbiz.de/10013521506

Modeling and forecasting volatility of stock market using family of GARCH models : evidence from CPEC linked countries

Fraz, Tayyab Raza; Fatima, Samreen - In: Global economy journal : GEJ 22 (2022) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10013556985

Evidence of volatility clustering and asymmetric behavior of returns in Asian emerging stock markets

Naqvi, Syed M. Waqar Azeem; Khan, Kanwal Iqbal; … - In: Pakistan economic and social review : incorporating the … 57 (2019) 2, pp. 163-197

Persistent link: https://www.econbiz.de/10013531991

Bidirectional volatility transmission between stocks and bond in East Asia : the quantile estimates based on wavelets

Živkov, Dejan; Kovačević, Jelena; Stankov, Biljana; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 1, pp. 49-65

Persistent link: https://www.econbiz.de/10014288820

Portfolio volatility estimation relative to stock market cross-sectional intrinsic entropy

Vint̜e, Claudiu; Ausloos, Marcel - In: Journal of risk and financial management : JRFM 16 (2023) 2, pp. 1-24

Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market … uses the cross-sectional intrinsic entropy (CSIE) model to estimate the cross-sectional volatility of the stock groups that … can be considered together as portfolio constituents. The CSIE market volatility estimate is based on daily traded prices …

Persistent link: https://www.econbiz.de/10014305795

Analysis of ASEAN's stock returns and/or volatility distribution under the impact of the Chinese EPU : evidence based on conditional kernel density approach

Rahman, Mohib Ur; Zeb, Aurang; Ullah, Irfan - In: East Asian economic review 27 (2023) 1, pp. 33-60

Persistent link: https://www.econbiz.de/10015046119

More attention and better volatility forecast accuracy : how does war attention affect stock volatility predictability?

Liang, Chao; Wang, Lu; Duy Duong - In: Journal of economic behavior & organization 218 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014552793