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Stock exchange volatility forecasting under market stress with MIDAS regression
Körs, Murat; Karan, Mehmet Baha - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 295-306
Persistent link: https://www.econbiz.de/10014253189
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Predicting stock realized variance based on an asymmetric robust regression approach
Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047
Persistent link: https://www.econbiz.de/10014435626
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Forecasting stock market volatility under parameter and model uncertainty
Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014463139
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Macroeconomic determinants of stock market volatility : an empirical study of Malaysia and Indonesia
Nikmanesh, Lida; Abu Hassan Shaari Mohd Nor - In: Asian Academy of Management journal : AAMJ 21 (2016) 1, pp. 161-180
Persistent link: https://www.econbiz.de/10011665273
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The asymmetric effect of G7 stock market volatility on predicting oil price volatility : evidence from quantile autoregression model
Zhang, Feipeng; Gao, Hongfu; Yuan, Di - In: Journal of commodity markets : JCM 35 (2024), pp. 1-17
Persistent link: https://www.econbiz.de/10015077268
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Risk management for a commercial lending portfolio using time series forecasting and small datasets
Ganguli, Tanmoy - In: Research bulletin / The Institute of Cost Accountants … 42 (2016) 1, pp. 188-202
Persistent link: https://www.econbiz.de/10011622284
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …
Persistent link: https://www.econbiz.de/10011489480
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Determinism and non-linear behaviour of log-return and conditional volatility : empirical analysis for 26 stock markets
Dhifaoui, Zouhaier - In: South Asian journal of macroeconomics and public finance 11 (2022) 1, pp. 69-94
Persistent link: https://www.econbiz.de/10013256597
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Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
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A multivariate Kernel approach to forecasting the variance covariance of stock market returns
Becker, Ralf; Clements, Adam; O'Neill, Rob - In: Econometrics : open access journal 6 (2018) 1, pp. 1-27
This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the matrix without resorting to a decomposition of...
Persistent link: https://www.econbiz.de/10011823257