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Investigating impact of volatility persistence and information inflow on volatility of stock indices using bivarite GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - In: Global business review 17 (2016) 5, pp. 1145-1161

Persistent link: https://www.econbiz.de/10011644073

The volatility model of the ASEAN stock indexes

Singagerda, Faurani Santi; Septarina, Linda; Sanusi, Anuar - In: Investment management and financial innovations 16 (2019) 1, pp. 226-238

Persistent link: https://www.econbiz.de/10012056146

The impact of financial leverage on the variance of stock returns

Aharon, David Yechiam; Yagil, Yossi - In: International Journal of Financial Studies : open … 7 (2019) 1/14, pp. 1-18

This paper investigates the direct theoretical relationship between the variance of stock returns (σ2E) and financial leverage (L) considering both corporate and personal taxes. Using a dataset of U.S. industrial firms, we examine the variance of stock returns as a function of the firm’s...

Persistent link: https://www.econbiz.de/10012038522

Volatility modeling with leverage effect under laplace errors

Jiang, Zhengjun; Xia, Weixuan - In: Journal of time series econometrics 10 (2018) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011817685

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

Persistent link: https://www.econbiz.de/10011903723

Predictive regressions under asymmetric loss : factor augmentation and model selection

Demetrescu, Matei; Hacıoǧlu Hoke, Sinem - 2018

Persistent link: https://www.econbiz.de/10011916480

Prediction of α‐stable GARCH and ARMA‐GARCH‐M models

Mohammadi, Mohammad - In: Journal of forecasting 36 (2017) 7, pp. 859-866

Persistent link: https://www.econbiz.de/10011860776

Macroeconomic variables, leverage, stock returns and stock return volatility

Marozva, Godfrey; Magwedere, Margaret Rutendo - In: Acta Universitatis Danubius / Oeconomica 13 (2017) 4, pp. 237-260

Persistent link: https://www.econbiz.de/10012137022

Two trees with heterogeneous beliefs : spillover effect of disagreement

Han, Bing; Lu, Lei; Zhou, Yi - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 4, pp. 1791-1819

Persistent link: https://www.econbiz.de/10012139954

Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach

Shanthi, A.; Thamilselvan, R. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 4, pp. 363-380

Persistent link: https://www.econbiz.de/10012153148

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