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Forecasting realized volatility through financial turbulence and neural networks

Souto, Hugo Gobato; Moradi, Amir - In: Economics and business review 9 (2023) 2, pp. 133-159

Persistent link: https://www.econbiz.de/10014636344

Return volatility movements in spot and futures markets : evidence from intraday behavior of the S&P 500 index

Chen, Jeng-hong - In: The international journal of business and finance … 8 (2014) 3, pp. 95-107

Persistent link: https://www.econbiz.de/10010241912

Modelling and forecasting volatility for BSE and NSE stock index : linear vs. nonlinear approach

Shanthi, A.; Thamilselvan, R. - In: Afro-Asian Journal of Finance and Accounting : AAJFA 9 (2019) 4, pp. 363-380

Persistent link: https://www.econbiz.de/10012153148

Forecasting volatility with many predictors

Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754

Persistent link: https://www.econbiz.de/10010344461

The hybrid forecast of S&P 500 volatility ensembled from VIX, GARCH and LSTM models

Roszyk, Natalia; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634883

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24

show that the volatility of the survivor stocks portfolio is less exposed to tail risks and responds less to shocks in the …

Persistent link: https://www.econbiz.de/10012888297

Added pressure to perform : the effect of S&P 500 index inclusion on earnings management

Franzen, Laurel; Spizman, Joshua; Suh, Julie - In: Quarterly journal of finance & accounting : QJFA 59 (2021) 1/2, pp. 105-138

Persistent link: https://www.econbiz.de/10012744721

Drawdown risk in mutual funds performance

Kumaran, Sunitha - In: Journal of finance and investment analysis 2 (2013) 2, pp. 89-106

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

Persistent link: https://www.econbiz.de/10009746020

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

Persistent link: https://www.econbiz.de/10010399734

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279