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Which model performs better while forecasting stock market volatility? : answer for Dhaka Stock Exchange (DSE)

Abdullah, S. M.; Kabir, Mohammod Akbar; Jahan, Kawsar; … - In: Theoretical economics letters 8 (2018) 14, pp. 3203-3222

Persistent link: https://www.econbiz.de/10011955144

Price stability properties and volatility analysis of precious metals : an ICSS algorithm aqpproach

Fatima, Sameen; Gan, Christopher; Hu, Baiding - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-15

in volatility of precious metals has been reduced. The results suggest gold is the most stable of the precious metals …

Persistent link: https://www.econbiz.de/10013471164

Return and volatility spillover effects between the INR-USD exchange rate and BSE SENSEX

Shadab, Abdullah; Sinha, Amit - In: Finance India : the quarterly journal of Indian … 36 (2022) 3, pp. 995-1008

Persistent link: https://www.econbiz.de/10013477579

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014283909

Predicting stock market volatility using MODWT with HyFIS and FS.HGD models

Alenezy, Abdullah H.; Mohd Tahir Ismail; Sadam Al-Wadi; … - In: Risks : open access journal 11 (2023) 7, pp. 1-16

We enhance the precision of predicting daily stock market price volatility using the maximum overlapping discrete …

Persistent link: https://www.econbiz.de/10014335933

Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data

Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of forecasting 42 (2023) 6, pp. 1309-1328

Persistent link: https://www.econbiz.de/10014338888

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk : JOR 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014487093

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...

Persistent link: https://www.econbiz.de/10014227600