1

Predicting cryptocurrency volatility : the power of model clustering

Qiu, Yue; Qu, Shaoguang; Shi, Zhentao; Xie, Tian - In: Economic modelling 144 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015195169

Saved in:

2

A long short-term memory enhanced realized conditional heteroskedasticity model

Liu, Chen; Wang, Chao; Minh-Ngoc Tran; Kohn, Robert - In: Economic modelling 142 (2025), pp. 1-10

Persistent link: https://www.econbiz.de/10015192384

Saved in:

3

Robust estimation of the range-based GARCH model : forecasting volatility, value at risk and expected shortfall of cryptocurrencies

Fiszeder, Piotr; Małecka, Marta; Molnár, Peter - In: Economic modelling 141 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015191454

Saved in:

4

Dynamic dependence of futures basis between the Chinese and international grains markets

Wang, Hao; Dong, Yizhe; Sun, Mingli; Shi, Baofeng; Ji, Hao - In: Economic modelling 130 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014451147

Saved in:

5

The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model

Zhao, Lu-Tao; Wang, Dai-Song; Ren, Zhong-Yuan - In: Economic modelling 130 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014451154

Saved in:

6

How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? : evidence from major currencies

Wang, Xinyu; Qi, Zikang; Huang, Jianglu - In: Economic modelling 120 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014383984

Saved in:

7

On the role of interest rate differentials in the dynamic asymmetry of exchange rates

Hambuckers, J.; Ulm, M. - In: Economic modelling 129 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014472153

Saved in:

8

The asymmetric dynamics of stock-bond liquidity correlation in China : the role of macro-financial determinants

Pan, Beier - In: Economic modelling 124 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014463273

Saved in:

9

The role of uncertainty in forecasting volatility comovements across stock markets

Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - In: Economic modelling 125 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463541

Saved in:

10

Price risk analysis using GARCH family models : evidence from Shanghai crude oil futures market

Bei, Shuhua; Yang, Aijun; Pei, Haotian; Si, Xiaoli - In: Economic modelling 125 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014463673

Saved in:

11

Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market

Liu, Wei; Garrett, Ian - In: Economic modelling 128 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014464307

Saved in:

12

Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns

Zhang, Chuanhai; Zhang, Zhengjun; Xu, Mengyu; Peng, Zhe - In: Economic modelling 119 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014249483

Saved in:

13

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470

Saved in:

14

Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies

Qu, Hui; Zhang, Yi - In: Economic modelling 106 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013347668

Saved in:

15

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237

Saved in:

16

Extreme risk spillovers across financial markets under different crises

Cao, Yufei - In: Economic modelling 116 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014512465

Saved in:

17

Dynamic volatility spillover effects between wind and solar power generations : implications for hedging strategies and a sustainable power sector

Song, Feng; Cui, Jian; Yu, Yihua - In: Economic modelling 116 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10014513221

Saved in:

18

Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?

Jiang, Kunliang; Ye, Wuyi - In: Economic modelling 117 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10014229176

Saved in:

19

When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis

Liu, Zhenhua; Zhang, Huiying; Ding, Zhihua; Lv, Tao; … - In: Economic modelling 114 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013367585

Saved in:

20

Evidence on time-varying inflation synchronization

Szafranek, Karol - In: Economic modelling 94 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012694692

Saved in:

21

Financial contagion and contagion channels in the forex market : A new approach via the dynamic mixture copula-extreme value theory

Wang, Haiying; Yuan, Ying; Li, Yiou; Wang, Xunhong - In: Economic modelling 94 (2021), pp. 401-414

Persistent link: https://www.econbiz.de/10012695085

Saved in:

22

Macroeconomic forecasts and commodity futures volatility

Ye, Wuyi; Guo, Ranran; Deschamps, Bruno; Jiang, Ying; … - In: Economic modelling 94 (2021), pp. 981-994

Persistent link: https://www.econbiz.de/10012695606

Saved in:

23

The golden hedge : from global financial crisis to global pandemic

Burdekin, Richard C. K.; Tao, Ran - In: Economic modelling 95 (2021), pp. 170-180

Persistent link: https://www.econbiz.de/10012695921

Saved in:

24

Mixed-frequency SV model for stock volatility and macroeconomics

Shang, Yuhuang; Zheng, Tingguo - In: Economic modelling 95 (2021), pp. 462-472

Persistent link: https://www.econbiz.de/10012696029

Saved in:

25

Investigating the dynamic relationship between litigation funding, gold, bitcoin and the stock market : the case of Australia

Amanjot Singh - In: Economic modelling 97 (2021), pp. 45-57

Persistent link: https://www.econbiz.de/10012793297

Saved in:

26

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

Saved in:

27

Bayesian estimation for a semiparametric nonlinear volatility model

Hu, Shuowen; Poskitt, Donald Stephen; Zhang, Xibin - In: Economic modelling 98 (2021), pp. 361-370

Persistent link: https://www.econbiz.de/10012793996

Saved in:

28

Realized skewness and the short-term predictability for aggregate stock market volatility

Zhang, Zhikai; He, Mengxi; Zhang, Yaojie; Wang, Yudong - In: Economic modelling 103 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013163911

Saved in:

29

Volatility spillovers across European stock markets under the uncertainty of Brexit

Li, Hong - In: Economic modelling 84 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012210266

Saved in:

30

Price volatility spillovers between supply chain and innovation of financial pledges in China

Hu, Haiqing; Chen, Di; Sui, Bo; Zhang, Lang; Wang, Yinyin - In: Economic modelling 89 (2020), pp. 397-413

Persistent link: https://www.econbiz.de/10012426120

Saved in:

31

Exploring GDP growth volatility spillovers across countries

Abosedra, Salah S.; Araissi, Mahmoud; Ben Sita, Bernard; … - In: Economic modelling 89 (2020), pp. 577-589

Persistent link: https://www.econbiz.de/10012426246

Saved in:

32

Prediction of volatility based on realized-GARCH-kernel-type models : evidence from China and the U.S.

Wang, Jiazhen; Jiang, Yuexiang; Zhu, Yanjian; Yu, Jing - In: Economic modelling 91 (2020), pp. 428-444

Persistent link: https://www.econbiz.de/10012429110

Saved in:

33

Quantile spillovers and dependence between Bitcoin, equities and strategic commodities

Urom, Christian; Abid, Ilyes; Guesmi, Khaled; … - In: Economic modelling 93 (2020), pp. 230-258

Persistent link: https://www.econbiz.de/10012430139

Saved in:

34

Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing

Liu, Min; Taylor, James W.; Choo, Wei Chong - In: Economic modelling 93 (2020), pp. 651-659

Persistent link: https://www.econbiz.de/10012430324

Saved in:

35

On the asymmetric impact of macro-variables on volatility

Amendola, Alessandra; Candila, Vincenzo; Gallo, Giampiero M. - In: Economic modelling 76 (2019), pp. 135-152

Persistent link: https://www.econbiz.de/10012198276

Saved in:

36

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

Saved in:

37

Impacts of China's crash on Asia-Pacific financial integration : volatility interdependence, information transmission and market co-movement

Ahmed, Abdullahi Dahir; Huo, Rui - In: Economic modelling 79 (2019), pp. 28-46

Persistent link: https://www.econbiz.de/10012199007

Saved in:

38

Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market

Ji, Jingru; Wang, Donghua; Xu, Dinghai - In: Economic modelling 80 (2019), pp. 383-391

Persistent link: https://www.econbiz.de/10012200735

Saved in:

39

Who poisons the pool? : time-varying asymmetric and nonlinear causal inference between low-risk and high-risk bonds markets

Ngene, Geoffrey M.; Lee Kim, Yea; Wang, Jinghua - In: Economic modelling 81 (2019), pp. 136-147

Persistent link: https://www.econbiz.de/10012201529

Saved in:

40

Analyzing exchange rate uncertainty and bilateral export growth in China : a multivariate GARCH-based approach

Smallwood, Aaron D. - In: Economic modelling 82 (2019), pp. 332-344

Persistent link: https://www.econbiz.de/10012203131

Saved in:

41

Intersectoral default contagion : a multivariate Poisson autoregression analysis

Escribano, Ana; Maggi, Mario Alessandro - In: Economic modelling 82 (2019), pp. 376-400

Persistent link: https://www.econbiz.de/10012203181

Saved in:

42

Correlation dynamics of crude oil with agricultural commodities : a comparison between energy and food crops

Pal, Debdatta; Mitra, Subrata Kumar - In: Economic modelling 82 (2019), pp. 453-466

Persistent link: https://www.econbiz.de/10012203189

Saved in:

43

Baidu news information flow and return volatility : evidence for the Sequential Information Arrival Hypothesis

Shen, Dehua; Li, Xiao; Zhang, Wei - In: Economic modelling 69 (2018), pp. 127-133

Persistent link: https://www.econbiz.de/10012016139

Saved in:

44

Forecasting gold futures market volatility using macroeconomic variables in the United States

Fang, Libing; Yu, Honghai; Xiao, Wen - In: Economic modelling 72 (2018), pp. 249-259

Persistent link: https://www.econbiz.de/10012100333

Saved in:

45

Forecasting the aggregate oil price volatility in a data-rich environment

Ma, Feng; Liu, Jing; Wahab, M. I. M.; Zhang, Yaojie - In: Economic modelling 72 (2018), pp. 320-332

Persistent link: https://www.econbiz.de/10012100341

Saved in:

46

Optimal hedge ratios for clean energy equities

Ahmad, Wasim; Sadorsky, Perry A.; Sharma, Amit - In: Economic modelling 72 (2018), pp. 278-295

Persistent link: https://www.econbiz.de/10012100422

Saved in:

47

Testing extreme dependence in financial time series

Chaudhuri, Kausik; Sen, Rituparna; Tan, Zheng - In: Economic modelling 73 (2018), pp. 378-394

Persistent link: https://www.econbiz.de/10012100537

Saved in:

48

Volatility spillover shifts in global financial markets

BenSaïda, Ahmed; Litimi, Houda; Abdallah, Oussama - In: Economic modelling 73 (2018), pp. 343-353

Persistent link: https://www.econbiz.de/10012100545

Saved in:

49

Return transmission and asymmetric volatility spillovers between oil futures and oil equities : new DCC-MEGARCH analyses

Tsuji, Chikashi - In: Economic modelling 74 (2018), pp. 167-185

Persistent link: https://www.econbiz.de/10012101322

Saved in:

50

Forecasting the realized range-based volatility using dynamic model averaging approach

Liu, Jing; Wei, Yu; Ma, Feng; Wahab, M. I. M. - In: Economic modelling 61 (2017), pp. 12-26

Persistent link: https://www.econbiz.de/10011736682

Saved in: