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Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

Whose sentiment explains implied volatility change and smile?

Ryu, Doojin; Ryu, Doowon; Yang, Heejin - In: Finance research letters 55 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014473013

Monetary policy and uncertainty resolution in commodity markets

Gu, Chen; Kurov, Alexander; Stan, Raluca - In: Finance research letters 55 (2023) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014473287

Energy Contagion in the COVID-19 Crisis

Heinlein, Reinhold; Legrenzi, Gabriella Deborah; … - 2020

We investigate the relationship between oil prices and stock markets of selected oil importers and oil exporters at the time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher correlations between oil and stock markets returns during...

Persistent link: https://www.econbiz.de/10012227685

Large dynamic covariance matrices: Enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2020

Modeling and forecasting dynamic (or time-varying) covariance matrices has many important applications in finance, such as Markowitz portfolio selection. A popular tool to this end are multivariate GARCH models. Historically, such models did not perform well in large dimensions due to the...

Persistent link: https://www.econbiz.de/10012253774