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Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV) : Evidence from China's stock market
Ping, Yuan; Li, Rui - In: Finance research letters 25 (2018), pp. 222-229
Persistent link: https://www.econbiz.de/10012003539
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Extreme spillovers of VIX fear index to international equity markets
Massaporn Cheuathonghua; Chaiyuth Padungsaksawasdi; … - In: Financial markets and portfolio management 33 (2019) 1, pp. 1-38
Persistent link: https://www.econbiz.de/10012018353
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An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns
Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173
Persistent link: https://www.econbiz.de/10012035007
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Slim, Skander; Koubaa, Yosra; BenSaïda, Ahmed - In: Journal of international financial markets, … 46 (2017), pp. 30-53
Persistent link: https://www.econbiz.de/10011745291
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GARCH model and fat tails of the Chinese stock market returns : new evidences
Day, Michael; Diamond, Mark; Card, Jeff; Hurd, Jake; … - In: Journal of risk & control 4 (2017) 1, pp. 43-49
Persistent link: https://www.econbiz.de/10012236806
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Heavy-Tailed Distributions, GARCH Model and the Stock Market Returns in South Korea
Hong, Yoon - 2017
returns exhibit conditional heavy tails even after volatility clustering effect has been accounted for; and ii) the NRIG …
Persistent link: https://www.econbiz.de/10012950335
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Average tail risk and aggregate stock returns
Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014245903