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Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - In: The quarterly review of economics and finance 95 (2024), pp. 280-293

Persistent link: https://www.econbiz.de/10014631538

A Test for Long Memory in the Conditional Correlation of Bivariate Returns to Stock and Bond Market Index Futures

Butler, Kirt C.; Gerken, William Christopher; Okada, … - 2016

Long memory is found in the conditional volatilities of financial returns measured at daily or higher frequencies, as well as in residual cross-products in bivariate series. We test for long memory in conditional correlations by extending the fractionally integrated GARCH model to include...

Persistent link: https://www.econbiz.de/10014179077

Regime-switching angular correlation diversification

Lee, Hsiang-Tai - In: Finance research letters 50 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014234140

A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index

Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when … GARCH systems to model the volatility of the FTSE 100 Implied Volatility Index (IV). We use GARCH, EGARCH, GJR-GARCH and … other asymmetric models unless there is exceptionally high volatility such as the crisis of 2008 in which case EGARCH …

Persistent link: https://www.econbiz.de/10014254483

Investor sentiment, realized volatility and stock returns

Abdelmalek, Wafa - In: Review of behavioral finance : RBF 14 (2022) 5, pp. 668-700

Persistent link: https://www.econbiz.de/10013453743

Modeling stock market return volatility : GARCH evidence from Nifty Realty Index

Jain, Dhara; Mittal, Sachin K.; Choudhary, Vipin - In: Finance India : the quarterly journal of Indian … 36 (2022) 1, pp. 159-169

Persistent link: https://www.econbiz.de/10013349014

Comovement of fear index, stock returns, brent oil prices in BRIC countries : the case of COVID-19

Sharma, Sakshi; Malik, Kunjana - In: The Indian economic journal 70 (2022) 4, pp. 559-576

Persistent link: https://www.econbiz.de/10013475299

Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX

Wu, Xinyu; Xia, Michelle; Li, Xindan - In: Applied economics 55 (2023) 20, pp. 2273-2291

Persistent link: https://www.econbiz.de/10014294916

The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market

Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014483735

Tail comovements of implied volatility indices and global index futures returns predictability

Lee, Hsiu-chuan; Lee, Yun-Huan; Nguyen, Cuong - In: Pacific-Basin finance journal 80 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014463335