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Evaluating volatility forecasts with ultra-high-frequency data : evidence from the Australian equity market

Zhang, Kai; De Mello, Lurion; Sadeghi, Mehdi - In: Theoretical economics letters 8 (2018) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011842038

An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market

Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

Persistent link: https://www.econbiz.de/10011843494

Breaks and outliers when modelling the volatility of the U.S. stock market

Chatzikonstanti, Vasiliki - In: Applied economics 49 (2017) 46, pp. 4704-4717

Persistent link: https://www.econbiz.de/10011844777

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach

Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243

Persistent link: https://www.econbiz.de/10011865998

Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?

Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70

Persistent link: https://www.econbiz.de/10012202481

Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries

Nonejad, Nima - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012203664

Time-varying risk aversion and realized gold volatility

Demirer, Rıza; Gillas, Konstantinos Gkillas; Gupta, Rangan - In: The North American journal of economics and finance : a … 50 (2019) 101048, pp. 1-16

Persistent link: https://www.econbiz.de/10012204443

The influence of intraday seasonality on volatility transmission pattern

Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197

Persistent link: https://www.econbiz.de/10012194754

Multiscale volatility transmission and portfolio construction between the baltic stock markets

Živkov, Dejan; Manić, Slavica; Đurašković, Jasmina - In: Finance a úvěr 69 (2019) 2, pp. 211-235

Persistent link: https://www.econbiz.de/10012137383