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Forecasting exchange rate volatility : is economic policy uncertainty better?
Ruan, Qingsong; Zhang, Jiarui; Lv, Dayong - In: Applied economics 56 (2024) 13, pp. 1526-1544
Persistent link: https://www.econbiz.de/10014473121
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Shifts in volatility driven by large stock market shocks
Dendramis, Yiannis; Kapetanios, George; Tzavalis, Elias - In: Journal of economic dynamics & control 55 (2015), pp. 130-147
Persistent link: https://www.econbiz.de/10011587216
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How is β related to asset returns?
Bollen, Bernard; Gharghori, Philip - In: Applied economics 48 (2016) 19/21, pp. 1925-1935
Persistent link: https://www.econbiz.de/10011590029
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An information theoretic analysis of stock returns, volatility and trading volumes
Ong, Marcus Alexander - In: Applied economics 47 (2015) 34/36, pp. 3891-3906
Persistent link: https://www.econbiz.de/10011294307
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Forecasting stock market volatility and information content of implied volatility index
Pati, Pratap Chandra; Barai, Parama; Rajib, Prabina - In: Applied economics 50 (2018) 23, pp. 2552-2568
Persistent link: https://www.econbiz.de/10011850295
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Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Lee, Kyungsub; Seo, Byoung Ki - In: Journal of economic dynamics & control 79 (2017), pp. 154-183
Persistent link: https://www.econbiz.de/10011817616
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An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
Jawadi, Fredj; Namouri, Hela; Ftiti, Zied - In: Journal of economic dynamics & control 91 (2018), pp. 469-484
Persistent link: https://www.econbiz.de/10011974225
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Mood fluctuations, projection bias, and volatility of equity prices
Mehra, Rajnish; Sah, Raaj Kumar - In: Journal of economic dynamics & control 26 (2002) 5, pp. 869-887
Persistent link: https://www.econbiz.de/10001636628
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Switching equilibria : the present value model for stock prices revisited
Gutiérrez, María José; Vázquez, Jesús - In: Journal of economic dynamics & control 28 (2004) 11, pp. 2297-2325
Persistent link: https://www.econbiz.de/10002172337
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The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293
Persistent link: https://www.econbiz.de/10009489609