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Melcangi, Davide; Sarpietro, Silvia - 2024

-Gaussian shocks. We show that these features are crucial to get empirically plausible volatility and persistence of micro …

Persistent link: https://www.econbiz.de/10014501127

Übermäßige Volatilität am Aktienmarkt : Erklärungsansätze auf der Grundlage verhaltenswissenschaftlich fundierter Erwartungsbildung

Carey, Philippe - 1996

Persistent link: https://www.econbiz.de/10000610114

Volatility spillover : garch analysis of S&P 500's influence on precious metals

Duran, Edo; Grubisic, Zoran; Lazić, Milena - In: Journal of central banking theory and practice 13 (2024) 2, pp. 187-211

In this study, the volatility spillovers from the S&P 500 to the precious metals (gold, silver and platinum) are … observed 15 years (global economic crisis, debt crisis and corona crisis). In the case of gold, despite extreme volatility …

Persistent link: https://www.econbiz.de/10014581564

Forecasting stock market realized volatility using random forest and artificial neural network in South Africa

Diane, Lamine; Brijlal, Pradeep - In: International journal of economics and financial issues … 14 (2024) 2, pp. 5-14

Persistent link: https://www.econbiz.de/10014581568

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582