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Political uncertainty and behavior of Tunisian stock market cycles : structural unobserved components time series models

Mnif, Afef Trabelsi - In: Research in international business and finance 39 (2017), pp. 206-214

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Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection

Fang, Tong; Lee, Tae-hwy; Su, Zhi - In: Journal of empirical finance 58 (2020), pp. 36-49

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A volatility model based on adaptive expectations : an improvement on the rational expectations model

Yao, Yuan; Zhao, Yang; Li, Yan - In: International review of financial analysis 82 (2022), pp. 1-20

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Investigating volatility transmission across international equity markets using multivariate fractional models

Saâdaoui, Foued; Ghadhab, Imen - In: International transactions in operational research : a … 30 (2023) 5, pp. 2139-2157

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Stock Market Volatility Modeling and Forecasting with a Special Reference to BSE Sensex

Malepati, Venkataramanaiah; Challa, Madhavi Latha; … - 2019

This study is intended to investigate the volatility patterns in Bombay Stock Exchange Limited Sensitivity Index (BSE … compared the estimated results from actual. Furthermore, the volatility of BSE Sensex has shown the features of clustering and … the BSE Sensex volatility. …

Persistent link: https://www.econbiz.de/10015091211

A permanent and transitory component model of stock return volatility

Engle, Robert F.; Lee, Gary G. J. - 1993 - [Rev.]

Persistent link: https://www.econbiz.de/10000877975

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

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Asymmetry with respect to the memory in stock market volatilities

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Persistent link: https://www.econbiz.de/10011481716

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

We propose a novel multivariate GARCH model that incorporates realized measures for the variance matrix of returns. The key novelty is the joint formulation of a multivariate dynamic model for outer-products of returns, realized variances and realized covariances. The updating of the variance...

Persistent link: https://www.econbiz.de/10011520881

Allowing for jump measurements in volatility : a high-frequency financial data analysis of individual stocks

Papavassiliou, Vassilios G. - In: Bulletin of economic research 68 (2016) 2, pp. 124-132

Persistent link: https://www.econbiz.de/10011496410