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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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Modeling the asymmetry of stock movements using price ranges
Chou, Ray Yeutien - 2006
Persistent link: https://www.econbiz.de/10003331381
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Essays on financial econometrics
Marcucci, Juri - 2005
Persistent link: https://www.econbiz.de/10003384566
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Model-free versus model-based volatility prediction
Politis, Dimitris N. - In: Journal of financial econometrics : official journal of … 5 (2007) 3, pp. 358-389
Persistent link: https://www.econbiz.de/10003518495
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Forecasting volatility with the multifractal random walk model
Duchon, Jean; Robert, Raoul; Vargas, Vincent - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 83-108
Persistent link: https://www.econbiz.de/10009554692
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Empirical studies on volatility in international stock markets
Hol, Eugenie M. J. H. - 2003
Persistent link: https://www.econbiz.de/10001781211
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The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345
Persistent link: https://www.econbiz.de/10001375188
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Predicting regime switches in the VIX index with macroeconomic variables
Baba, Naohiko; Sakurai, Yuji - In: Applied economics letters 18 (2011) 13/15, pp. 1415-1419
Persistent link: https://www.econbiz.de/10009347993
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The role of the COVID-19 pandemic in US market volatility : evidence from the VIX index
Apergēs, Nikolaos; Mustafa, Ghulam; Malik, Shafaq - In: The quarterly review of economics and finance : journal … 89 (2023), pp. 27-35
Persistent link: https://www.econbiz.de/10014428131