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Search: subject:"Volatility factor"
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Identifying the volatility risk price through the leverage effect
Cheng, Xu
;
Renault, Eric
;
Sangrey, Paul
-
2024
-
This version: April 23, 2024
Persistent link: https://www.econbiz.de/10014580927
Saved in:
2
Identifying the volatility risk price through the leverage effect
Cheng, Xu
;
Renault, Eric
;
Sangrey, Paul
- In:
Journal of econometrics
248
(
2025
),
pp. 1-19
Persistent link: https://www.econbiz.de/10015556442
Saved in:
3
Forecasting volatility using double shrinkage methods
Cheng, Mingmian
;
Swanson, Norman R.
;
Yang, Xiye
- In:
Journal of empirical finance
62
(
2021
),
pp. 46-61
Persistent link: https://www.econbiz.de/10012693319
Saved in:
4
Geoclimate, geopolitics, and the geovolatility of carbon-intensive equity returns
Campos-Martins, Susana
;
Hendry, David F.
-
2021
Persistent link: https://www.econbiz.de/10012696999
Saved in:
5
A common factor of stochastic volatilities between oil and commodity prices
Lee, Eunhee
;
Han, Doo Bong
;
Nayga, Rodolfo M. <Jr.>
- In:
Applied economics
49
(
2017
)
22
,
pp. 2203-2215
Persistent link: https://www.econbiz.de/10011817276
Saved in:
6
A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea
;
Kapetanios, George
-
2004
suggest use of the principal component methodology of Stock and Watson (2002) for the stochastic
volatility
factor
model …
Persistent link: https://www.econbiz.de/10010289033
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