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Stock Index Returns' Density Prediction Using GARCH Models : Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F. - 2017
provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts …
Persistent link: https://www.econbiz.de/10012976219
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard - 2016
Persistent link: https://www.econbiz.de/10012991280
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A comparative GARCH analysis of macroeconomic variables and returns on modelling the Kurtosis of FTSE 100 implied volatility index
Alsheikhmubarak, Abdulilah Ibrahim; Giouvris, Evangelos - In: Multinational finance journal 22 (2018) 3/4, pp. 119-172
Persistent link: https://www.econbiz.de/10012547707
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Empirical Study of Tail Distributions of Multi-Day Index Returns
Roos, Thomas - 2021
We study the tail distributions of multi-day index returns across a variety of asset classes. Fitting power laws to the tail distributions, we find tail indices in the range [2-4] for all underlyings, for returns up to 250 days. We also find that the power laws can not be statistically ruled out...
Persistent link: https://www.econbiz.de/10013249954
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Return and volatility linkages between the US and the German stock market
Baur, Dirk G.; Jung, Robert - 2002
Persistent link: https://www.econbiz.de/10013268929
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Bitcoin prices and the realized volatility of US sectoral stock returns
Bouri, Elie; Salisu, Afees A.; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10013270159
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Empirical investigation of select NSE sector specific indices to ascertain seasonality & asymmetries in their return & volatility
Shahani, Rakesh; Sharma, Ananya - In: Business analyst : a refereed journal of Shri Ram … 41 (2020) 1, pp. 55-80
Persistent link: https://www.econbiz.de/10013177289
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Effectiveness of a Time-Varying Hedge Ratio : Evidence from NSE Stock Index Returns
Rajhans, Rajni Kant - 2015
There is no dearth of research in the area of Optimal Hedge Ratio estimation. The general consent goes towards use of … future and spot market provides information that news about future and spot prices arrives to the market place in discrete …
Persistent link: https://www.econbiz.de/10013035194
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Multivariate volatility forecasts for stock market indices
Wilms, Ines; Rombouts, Jeroen V. K.; Croux, Christophe - In: International journal of forecasting 37 (2021) 2, pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - In: The North American journal of economics and finance : a … 25 (2013), pp. 116-138
Persistent link: https://www.econbiz.de/10009777824