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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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Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo - 2020
volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …
Persistent link: https://www.econbiz.de/10012292347
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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
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Intra- and inter-regional return and volatility spillovers across emerging and developed markets : evidence from stock indices and stock index futures
Yarovaya, Larisa; Brzeszczyński, Janusz; Lau, Chi Keung - In: International review of financial analysis 43 (2016), pp. 96-114
Persistent link: https://www.econbiz.de/10011623719
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Implied volatility index for the Norwegian equity market
Bugge, Sebastian A.; Guttormsen, Haakon J.; Molnár, Peter - In: International review of financial analysis 47 (2016), pp. 133-141
Persistent link: https://www.econbiz.de/10011624091
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Asymmetries of the intraday return-volatility relation
Badshah, Ihsan Ullah; Frijns, Bart; Knif, Johan; … - In: International review of financial analysis 48 (2016), pp. 182-192
Persistent link: https://www.econbiz.de/10011624483
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Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market
Liu, Shengnan; Yang, Linshan; Gu, Rongbao - In: International review of economics & finance : IREF 85 (2023), pp. 44-58
Persistent link: https://www.econbiz.de/10014424017
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Price discovery in equity markets : a state-dependent analysis of spot and futures markets
Kuck, Konstantin; Schweikert, Karsten - In: Journal of banking & finance 149 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014462550
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Implied volatility smirk and future stock returns : evidence from the German market
Mo, Di; Todorova, Neda; Gupta, Rakesh - In: Managerial finance 41 (2015) 12, pp. 1357-1379
Persistent link: https://www.econbiz.de/10011504242
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Modeling the joint dynamics of risk-neutral stock index and bond yield volatilities
Zhou, Yinggang - In: Journal of banking & finance 38 (2014), pp. 216-228
Persistent link: https://www.econbiz.de/10010340777