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  • Search: subject:"Realized EGARCH"
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Subject
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Volatility 9 Volatilität 9 ARCH model 8 ARCH-Modell 8 Estimation 7 Forecasting model 7 Prognoseverfahren 7 Schätzung 7 Börsenkurs 5 Share price 5 Aktienmarkt 4 Realized EGARCH 4 Stock market 4 Aktienindex 3 Stock index 3 Time series analysis 3 VIX forecasting 3 Zeitreihenanalyse 3 Capital market returns 2 China 2 EU countries 2 EU-Staaten 2 Financial market 2 Finanzmarkt 2 Kapitalmarktrendite 2 Public bond 2 Realized EGARCH-MIDAS 2 Realized kernel 2 Realized measure 2 Risikoaversion 2 Risk aversion 2 Volatility forecasting 2 high-frequency information 2 realized EGARCH 2 Öffentliche Anleihe 2 Anleihe 1 BREXIT 1 Benzin 1 Bond 1 Bond market 1
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Undetermined 11
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Article 11
Type of publication (narrower categories)
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Article in journal 11 Aufsatz in Zeitschrift 11
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English 11
Author
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Wu, Xinyu 7 Kiohos, Apostolos 2 Stoupos, Nikolaos 2 Xie, Haibin 2 Ben Sita, Bernard 1 He, Qizhi 1 Jiu, Song 1 Li, Xindan 1 Liang, Chao 1 Liu, Li 1 Pu, Junlin 1 Qian, Jia 1 Wang, Haiyun 1 Wang, Lu 1 Wang, Xiaona 1 Wang, Yuyao 1 Xia, Michelle 1 Zhao, An 1 Zhao, Chenchen 1 Zhao, Xiaohan 1
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Published in...
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Applied economics letters 2 Finance research letters 2 Applied economics 1 International review of economics & finance : IREF 1 Journal of common market studies : JCMS 1 Pacific-Basin finance journal 1 Review of quantitative finance and accounting 1 Review of world economics 1 The North American journal of economics and finance : a journal of financial economics studies 1
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ECONIS (ZBW) 11
Showing 1 - 10 of 11
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Forecasting VIX using realized EGARCH model with dynamic jumps
Wu, Xinyu; Pu, Junlin; Wang, Yuyao - In: Applied economics letters 32 (2025) 11, pp. 1534-1545
Persistent link: https://www.econbiz.de/10015444772
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Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Wu, Xinyu; Qian, Jia; Zhao, Xiaohan - In: Pacific-Basin finance journal 83 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10014491122
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Forecasting VIX using two-component realized EGARCH model
Wu, Xinyu; Zhao, An; Liu, Li - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014484064
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Forecasting VIX with time-varying risk aversion
Wu, Xinyu; He, Qizhi; Xie, Haibin - In: International review of economics & finance : IREF 88 (2023), pp. 458-475
Persistent link: https://www.econbiz.de/10014475366
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Modelling and forecasting volatility with high-frequency and VIX information : a component realized EGARCH model with VIX
Wu, Xinyu; Xia, Michelle; Li, Xindan - In: Applied economics 55 (2023) 20, pp. 2273-2291
Persistent link: https://www.econbiz.de/10014294916
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Predicting the volatility of China's new energy stock market : deep insight from the realized EGARCH-MIDAS model
Wang, Lu; Zhao, Chenchen; Liang, Chao; Jiu, Song - In: Finance research letters 48 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013463292
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Euro area: towards a European common bond? : empirical evidence from the sovereign debt markets
Stoupos, Nikolaos; Kiohos, Apostolos - In: Journal of common market studies : JCMS 60 (2022) 4, pp. 1019-1046
Persistent link: https://www.econbiz.de/10013392064
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Forecasting stock market volatility using implied volatility : evidence from extended realized EGARCH-MIDAS model
Wu, Xinyu; Wang, Xiaona; Wang, Haiyun - In: Applied economics letters 28 (2021) 11, pp. 915-920
Persistent link: https://www.econbiz.de/10012589699
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BREXIT referendum's impact on the financial markets in the UK
Stoupos, Nikolaos; Kiohos, Apostolos - In: Review of world economics 157 (2021) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10014306775
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A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu; Xie, Haibin - In: Finance research letters 38 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
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