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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis

Eraslan, Sercan; Ali, Faek Menla - In: Economics letters 172 (2018), pp. 59-62

Persistent link: https://www.econbiz.de/10012022066

Univariate GARCH model generated volatility skews for the CIVETS stock indices

Labuschagne, Coenraad C. A.; Oberholzer, Niel; Venter, … - In: Advances in applied economic research : proceedings of …, (pp. 333-347). 2017

Persistent link: https://www.econbiz.de/10011744293

What drives asymmetric dependence structure of asset return comovements?

Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 48 (2016), pp. 312-330

Persistent link: https://www.econbiz.de/10011624528

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

Persistent link: https://www.econbiz.de/10011556166

Stock market return and volatility relationship : Monday effect

Berument, Hakan; Dogan, Nükhet - In: International journal of economic perspectives : IJEP 5 (2011) 2, pp. 175-185

Persistent link: https://www.econbiz.de/10011587476

A coupled component GARCH model for intraday and overnight volatility

Linton, Oliver; Wu, Jianbin - 2017

We propose a semi-parametric coupled component GARCH model for intraday and overnight volatility that allows the two … of 1992-2015. We show that actually the ratio of overnight to intraday volatility has increased in importance for big … stocks in the last 20 years. In addition, our model provides better intraday volatility forecast since it takes account of …

Persistent link: https://www.econbiz.de/10011589029

Persistence of ex-ante volatility and the cross-section of stock returns

Simlai, Prodosh - In: International review of financial analysis 33 (2014), pp. 253-261

Persistent link: https://www.econbiz.de/10010520455

The interrelation of stock markets in China, Taiwan and Hong Kong and their constructional portfolio's value-at-risk estimate

Su, Jung-bin - In: The journal of risk model validation 8 (2014) 4, pp. 69-127

Persistent link: https://www.econbiz.de/10010506583

Out-of-sample prediction of the oil futures market volatility : a comparison of new and traditional combination approaches

Zhang, Yaojie; Ma, Feng; Wei, Yu - In: Energy economics 81 (2019), pp. 1109-1120

Persistent link: https://www.econbiz.de/10012173075