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Multi-scale risk contagion among international oil market, Chinese commodity market and Chinese stock market : a MODWT-Vine quantile regression approach

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Exponential high-frequency-based-volatility (EHEAVY) models

Xu, Yongdeng - 2022

measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models … of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not …

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Do cryptocurrencies and traditional asset classes influence each other?

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Asymmetric connectedness on the U.S. stock market : bad and good volatility spillovers

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