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The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility : an expanded APARCH model
Curto, José Dias; Serrasqueiro, Pedro - In: Finance research letters 46 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013341276
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Investor sentiment and stock volatility : new evidence
Gong, Xue; Zhang, Weiguo; Wang, Junbo; Wang, Chao - In: International review of financial analysis 80 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013366314
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Information bias and its spillover effect on return volatility : a study on stock markets in the Asia-Pacific region
Panda, Ajaya Kumar; Panda, Pradiptarathi; Nanda, Swagatika - In: Pacific-Basin finance journal 69 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013370265
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Forecasting cryptocurrency volatility
Catania, Leopoldo; Grassi, Stefano - In: International journal of forecasting 38 (2022) 3, pp. 878-894
Persistent link: https://www.econbiz.de/10013349436
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Leverage effect in cryptocurrency markets
Huang, Jing-Zhi; Ni, Jun; Xu, Li - In: Pacific-Basin finance journal 73 (2022), pp. 1-26
Persistent link: https://www.econbiz.de/10013389124
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Modeling dynamic conditional correlations with leverage effects and volatility spillover effects : evidence from the Chinese and US stock markets affected by the recent trade frict...
Pan, Qunxing; Mei, Xiaowen; Gao, Tianqing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013413579
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The leverage effect of bundling on monopoly power and product quality
Chung, Hui-Ling; Hu, Jin-li; Lin, Yan-shu - In: The Manchester School 90 (2022) 6, pp. 668-688
Persistent link: https://www.econbiz.de/10013414309
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A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Journal of risk 24 (2022) 6, pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
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A stochastic volatility model with a general leverage specification
Catania, Leopoldo - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
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Hedging with linear regressions and neural networks
Ruf, Johannes; Wang, Weiguan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1442-1454
Persistent link: https://www.econbiz.de/10013539793