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Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off
Donaldson, Glen (contributor); Kamstra, Mark J. (contributor) - 2004
Persistent link: https://www.econbiz.de/10002571438
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The role of trading volume in forecasting market risk
Slim, Skander - In: Inventi impact: international trade (2016) 3, pp. 169-181
Persistent link: https://www.econbiz.de/10011567980
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Copula-based vMEM specifications versus alternatives : the case of trading activity
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24
simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …
Persistent link: https://www.econbiz.de/10011654447
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A new approach to bad news effects on volatility : the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
Curto, José Dias; Tomaz, João Amaral; Pinto, José Castro - In: Portuguese economic journal 8 (2009) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10003823949
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Google search volume sentiment and its impact on REIT market movements
Braun, Nicole - In: Journal of property investment & finance 34 (2016) 3, pp. 249-262
Persistent link: https://www.econbiz.de/10011489434
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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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Intraday volatility interaction between the crude oil and equity markets
Dinh Hoang Bach Phan; Sharma, Susan Sunila; Narayan, … - In: Journal of international financial markets, … 40 (2016), pp. 1-13
Persistent link: https://www.econbiz.de/10011475821
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Contemporaneous intraday volume, option, and futures volatility transmissions across parallel markets
Chng, Michael; Gannon, Gerard L. - In: International review of financial analysis 12 (2003) 1, pp. 49-68
Persistent link: https://www.econbiz.de/10001769954
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The Intraday Analysis of Volatility, Volume and Spreads : A Review with Applications to Futures Markets
Fantazzini, Dean - 2011
of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday …
Persistent link: https://www.econbiz.de/10013130773
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Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph - 2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074