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Score-driven models for realized volatility

Harvey, Andrew C.; Palumbo, Dario - 2019

Persistent link: https://www.econbiz.de/10012703124

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Volatility spillover between exchange rate and stock returns under volatility shifts

Malik, Farooq - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 605-613

Persistent link: https://www.econbiz.de/10012655581

Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis

Kumar, Dilip - In: The journal of prediction markets 13 (2019) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10012607570

Stock market volatility and public information flow : a non-linear perspective

Bertelsen, Kristoffer Pons; Borup, Daniel; Jakobsen, … - In: Economics letters 204 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10012607808

Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets

Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94

Persistent link: https://www.econbiz.de/10013256597

Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility

Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10013177289

Estimating Fluctuating Volatility Time Series Returns for a Cluster of International Stock Markets : A Case Study for Switzerland, Austria, China and Hong Kong

BADARLA, Suresh; NATHWANI, Bharti; Trivedi, Jatin; … - 2022

The major aim of this empirical study is to estimate the volatility time series returns for a cluster of international … capture volatility clusters and changes in long and short term volatility impact. The econometric approch is based on randomly … using GARCH family models for estimating financial market volatility. Moreover, the sampled time interval includes two …

Persistent link: https://www.econbiz.de/10013290005

Indicator for describing bull and bear markets : asymmetry and persistence perspective

Natthinee Thampanya; Chanapol Pornpikul - In: Southeast Asian journal of economics 8 (2020) 1, pp. 39-81

Persistent link: https://www.econbiz.de/10012813428

Testing for an omitted multiplicative long-term component in GARCH models

Conrad, Christian; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 229-242

We consider the problem of testing for an omitted multiplicative long-term component in GARCH-type models. Under the alternative, there is a two-component model with a short-term GARCH component that fluctuates around a smoothly time-varying long-term component which is driven by the dynamics of...

Persistent link: https://www.econbiz.de/10012795900