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  • Search: subject:"asymmetric volatility"
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Year of publication
Subject
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asymmetric volatility 31 Volatilität 25 Volatility 22 ARCH-Modell 15 ARCH model 14 Börsenkurs 12 Asymmetric volatility 11 Capital income 11 Kapitaleinkommen 11 Share price 11 Asymmetric Volatility 10 Spillover-Effekt 8 Estimation 7 Financial market 7 Finanzmarkt 7 Schätzung 7 Spillover effect 7 Welt 7 World 7 GARCH 6 Aktienindex 5 Aktienmarkt 5 EGARCH 5 Stock market 5 Coronavirus 4 Stock Returns 4 Stock index 4 Theorie 4 Theory 4 asymmetric volatility spillovers 4 Asymmetric Volatility Smile 3 Debt Externality 3 Emerging economies 3 Impact assessment 3 India 3 Indien 3 Leverage 3 Leverage effect 3 Multiplicative Error Model (MEM) 3 Schwellenländer 3
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Online availability
All
Free 72 CC license 8
Type of publication
All
Book / Working Paper 40 Article 32
Type of publication (narrower categories)
All
Article in journal 16 Aufsatz in Zeitschrift 16 Working Paper 14 Article 8 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 7
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Language
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English 45 Undetermined 25 Czech 1 German 1
Author
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McAleer, Michael 6 Wagner, Niklas 4 Asai, Manabu 3 Guan, Bo 3 Jaskowski, Marcin 3 Lee, Bong Soo 3 Mazouz, Khelifa 3 Ryu, Doojin 3 Xu, Yongdeng 3 Aboura, Sofiane 2 Aftab, Hira 2 Akar, Cuneyt 2 Balcilar, Mehmet 2 Beg, Rabiul Alam 2 Benavides, Guillermo 2 Bevilacqua, Mattia 2 Chawla, Akhila 2 Gajurel, Dinesh 2 Hai, Vu Thanh 2 Hawaldar, Iqbal Thonse 2 Ibrahim, P. 2 Lee, Kuo-Jung 2 Lu, Su-Lien 2 Marsh, Terry A. 2 Meher, Bharat Kumar 2 Ozdemir, Huseyin 2 Panagiotidis, Theodore 2 Shih, You 2 Srinivasan, P. 2 Tsui, Albert K. 2 Zhang, Zhaoyong 2 ALAGIDEDE, PAUL 1 Abbas, Sumra 1 Abeysinghe, Tilak 1 Al Absy, Mujeeb Saif Mohsen 1 Alagidede, Paul 1 Albu, Lucian-Liviu 1 Aloui, Chaker 1 Amira, Khaled 1 Aye, Goodness C. 1
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Institution
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Department of Economics, National University of Singapore 2 East Asian Bureau of Economic Research (EABER) 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Departamento de Economía, Universidad Carlos III de Madrid 1 Department of Economics, Faculty of Business and Economics 1 Department of Economics, University of Stirling 1 Duke University, Department of Economics 1 Erasmus University Rotterdam, Econometric Institute 1 Fakultät für Wirtschaftswissenschaften, Technische Universität München 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institut für Weltwirtschaft (IfW) 1 Institute of Economic Research, Kyoto University 1 School of Economics and Management, University of Aarhus 1 School of Economics, Singapore Management University 1 Tinbergen Instituut 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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International Journal of Energy Economics and Policy : IJEEP 3 Journal of Risk and Financial Management 3 Journal of risk and financial management : JRFM 3 Documentos de Trabajo del ICAE 2 Econometric Institute Research Papers 2 International Journal of Financial Studies : open access journal 2 Istanbul Stock Exchange Review 2 MPRA Paper 2 SCAPE Policy Research Working Paper Series 2 Acta Universitatis Danubius. OEconomica 1 CEFS Working Paper Series 1 CESifo working papers 1 CREATES Research Papers 1 Cardiff Economics Working Papers 1 Cardiff economics working papers 1 Central Bank Review (CBR) 1 Department of Economics - Working Papers Series 1 Discussion Paper Series 1 ERSA working paper 1 Econometric Institute Report 1 Economics Discussion Papers 1 Economics Discussion Papers / Institut für Weltwirtschaft (IfW) 1 Economics Papers from University Paris Dauphine 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 Economics: The Open-Access, Open-Assessment E-Journal 1 Energy economics 1 Estudios de Economía 1 Estudios de economía 1 EuroEconomica 1 Financial internet quarterly 1 International Journal of Business and Economic Sciences Applied Research (IJBESAR) 1 International Journal of Economic Sciences and Applied Research 1 International Journal of Financial Studies 1 KIER Working Papers 1 LIDAM discussion paper CORE 1 Latin American Journal of Economics-formerly Cuadernos de Economía 1 MNB Working Papers 1 MNB working papers 1 Managing Global Transitions 1 Microeconomics Working Papers 1
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Source
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RePEc 32 ECONIS (ZBW) 24 EconStor 15 BASE 1
Showing 1 - 10 of 72
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Anwendung von Deep Learning in der Prognose der Volatilität des DAX : ein Vergleich der Prognosegüte von GARCH und LSTM
Knuth, Nico; Nastansky, Andreas - 2025
Persistent link: https://www.econbiz.de/10015332574
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Asymmetric volatility spillover between crude oil and other asset markets
Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - In: Energy economics 130 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014559169
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Asymmetric models for realized covariances
Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024
Persistent link: https://www.econbiz.de/10015072281
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On the risk spillover from Bitcoin to Altcoins: The fear of missing out and pump-and-dump scheme effects
Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-15
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the …
Persistent link: https://www.econbiz.de/10014332816
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Asymmetric volatility spillover between crude oil and other asset markets
Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023
This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility …
Persistent link: https://www.econbiz.de/10014480566
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An analysis of volatility and risk-adjusted returns of ESG indices in developed and emerging economies
Gupta, Hemendra; Chaudhary, Rashmi - In: Risks : open access journal 11 (2023) 10, pp. 1-18
The importance of Environmental, Social, and Governance (ESG) aspects in investment decisions has grown significantly in today's volatile financial market. This study aims to answer the important question of whether investing in ESG-compliant companies is a better option for investors in both...
Persistent link: https://www.econbiz.de/10014393124
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Cover Image
Asymmetric volatility spillover between crude oil and other asset markets
Guan, Bo; Mazouz, Khelifa; Xu, Yongdeng - 2023
This study uses the Multiplicative Error Model (MEM) to explore asymmetric volatility spillovers between crude oil and … other major asset markets. We have extended the MEM of Engle et al. (2012) and ddd to include asymmetric volatility …
Persistent link: https://www.econbiz.de/10014433363
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Market shocks and stock volatility : evidence from emerging and developed markets
Tabash, Mosab I.; Chalissery, Neenu; Nishad, T. Mohamed; … - In: International Journal of Financial Studies : open … 12 (2024) 1, pp. 1-18
Market turbulences and their impact on the financial market, particularly on the stock market, is a financial topic that has received significant research attention recently. This study compared the characteristics of stock return and volatility in selected developed and emerging markets between...
Persistent link: https://www.econbiz.de/10014501165
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On the risk spillover from Bitcoin to Altcoins : the fear of missing out and pump-and-dump scheme effects
Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the …
Persistent link: https://www.econbiz.de/10014289747
Saved in:
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Symmetric and asymmetric volatility : forecasting the Borsa Istanbul 100 index return volatility
Öner, Selma; Öner, Hakan - In: Financial internet quarterly 19 (2023) 1, pp. 48-56
The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric models cannot fully explain this vol- atility,...
Persistent link: https://www.econbiz.de/10014281313
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