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Journal of empirical finance
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1
International commodity market and stock volatility predictability : evidence from G7 countries
Wang, Jiashun
;
Wang, Jiqian
;
Ma, Feng
- In:
International review of economics & finance : IREF
90
(
2024
),
pp. 62-71
Persistent link: https://www.econbiz.de/10014446887
Saved in:
2
Stock market volatility prediction : evidence from a new bagging model
Luo, Qin
;
Bu, Jinfeng
;
Xu, Weiju
;
Huang, Dengshi
- In:
International review of economics & finance : IREF
87
(
2023
),
pp. 445-456
Persistent link: https://www.econbiz.de/10014472410
Saved in:
3
Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?
Chou, Ke-Hsin
;
Day, Min-Yuh
;
Chiu, Chien-Liang
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 365-385
Persistent link: https://www.econbiz.de/10014474538
Saved in:
4
Empirical performance of component GARCH models in pricing VIX term structure and VIX futures
Cheng, Hung-Wen
;
Chang, Li-Han
;
Lo, Chien-Ling
;
Tsai, …
- In:
Journal of empirical finance
72
(
2023
),
pp. 122-142
Persistent link: https://www.econbiz.de/10014476812
Saved in:
5
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima
- In:
Journal of empirical finance
70
(
2023
),
pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
Saved in:
6
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
7
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
8
Can the introduction of stock index futures stabilize the volatility of the stock market? : evidence from the Chinese stock market
Liu, Shengnan
;
Yang, Linshan
;
Gu, Rongbao
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 44-58
Persistent link: https://www.econbiz.de/10014424017
Saved in:
9
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
10
Forecasting Pakistan stock market volatility : evidence from economic variables and the uncertainty index
Ghani, Maria
;
Guo, Qiang
;
Ma, Feng
;
Li, Tao
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 1180-1189
Persistent link: https://www.econbiz.de/10013343226
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11
Estimating tail-risk using semiparametric conditional variance with an application to meme stocks
D'Addona, Stefano
;
Khanom, Najrin
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 241-260
Persistent link: https://www.econbiz.de/10013543110
Saved in:
12
The budgets of wars : analysis of the US defense stocks in the Post-Cold War era
Gurdgiev, Constantin
;
Henrichsen, Aaron
;
Mulhair, Andrew
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 335-346
Persistent link: https://www.econbiz.de/10013543140
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13
Modeling and managing stock market volatility using MRS-MIDAS model
Chen, Wang
;
Lu, Xinjie
;
Wang, Jiqian
- In:
International review of economics & finance : IREF
82
(
2022
),
pp. 625-635
Persistent link: https://www.econbiz.de/10013545774
Saved in:
14
Canadian stock market volatility under COVID-19
Xu, Dinghai
- In:
International review of economics & finance : IREF
77
(
2022
),
pp. 159-169
Persistent link: https://www.econbiz.de/10013330750
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15
How does news flow affect cross-market volatility spillovers? : evidence from China’s stock index futures and spot markets
Zhou, Xinmiao
;
Zhang, Junru
;
Zhang, Zhaoyong
- In:
International review of economics & finance : IREF
73
(
2021
),
pp. 196-213
Persistent link: https://www.econbiz.de/10012692222
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16
Volatility spillovers and hedging effectiveness between health and tourism stocks : empirical evidence from the US
Salisu, Afees A.
;
Akanni, Lateef O.
;
Xuan Vinh Vo
- In:
International review of economics & finance : IREF
74
(
2021
),
pp. 150-159
Persistent link: https://www.econbiz.de/10012792946
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17
The role of US implied volatility index in forecasting Chinese stock market volatility : evidence from HAR models
Xiao, Jihong
;
Wen, Fenghua
;
Zhao, Yupei
;
Wang, Xiong
- In:
International review of economics & finance : IREF
74
(
2021
),
pp. 311-333
Persistent link: https://www.econbiz.de/10012792965
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18
Harnessing the decomposed realized measures for volatility forecasting : evidence from the US stock market
Lu, Botao
;
Ma, Feng
;
Wang, Jiqian
;
Ding, Hui
;
Wahab, M. …
- In:
International review of economics & finance : IREF
72
(
2021
),
pp. 672-689
Persistent link: https://www.econbiz.de/10012672074
Saved in:
19
Oil price shocks and the US stock market : a nonlinear approach
Hwang, Inwook
;
Kim, Jaebeom
- In:
Journal of empirical finance
64
(
2021
),
pp. 23-36
Persistent link: https://www.econbiz.de/10013259395
Saved in:
20
Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection
Fang, Tong
;
Lee, Tae-hwy
;
Su, Zhi
- In:
Journal of empirical finance
58
(
2020
),
pp. 36-49
Persistent link: https://www.econbiz.de/10012430452
Saved in:
21
The risk spillovers from the Chinese stock market to major East Asian stock markets : a MSGARCH-EVT-copula approach
Yang, Xiao
- In:
International review of economics & finance : IREF
65
(
2020
),
pp. 173-186
Persistent link: https://www.econbiz.de/10012385325
Saved in:
22
Volatility and skewness spillover between stock index and stock index futures markets during a crash period : new evidence from China
Hou, Yang
;
Li, Steven
- In:
International review of economics & finance : IREF
66
(
2020
),
pp. 166-188
Persistent link: https://www.econbiz.de/10012390715
Saved in:
23
Asymmetric volatility spillover between European equity and foreign exchange markets : evidence from the frequency domain
Warshaw, Evan
- In:
International review of economics & finance : IREF
68
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012486281
Saved in:
24
Lead-lag relationship between spot and futures stock indexes : intraday data and regime-switching models
Alemany, Nuria
;
Aragó, Vicent
;
Salvador, Enrique
- In:
International review of economics & finance : IREF
68
(
2020
),
pp. 269-280
Persistent link: https://www.econbiz.de/10012486492
Saved in:
25
The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns : a quantile regression approach
Das, Debojyoti
;
Kannadhasan, M.
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 563-581
Persistent link: https://www.econbiz.de/10012487016
Saved in:
26
News and return volatility of Chinese bank stocks
Ho, Kin-Yip
;
Shi, Yanlin
;
Zhang, Zhaoyong
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 1095-1105
Persistent link: https://www.econbiz.de/10012487527
Saved in:
27
Intraday price discovery and volatility spillovers in an emerging market
Fassas, Athanasios P.
;
Siriopoulos, Costas
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 333-346
Persistent link: https://www.econbiz.de/10012202893
Saved in:
28
Black swan events in China's stock markets : intraday price behaviors on days of volatility
Lin, Wen-Yuan
;
Tsai, I-Chun
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 395-411
Persistent link: https://www.econbiz.de/10012202930
Saved in:
29
A sectoral analysis of asymmetric nexus between oil price and stock returns
Salisu, Afees A.
;
Raheem, Ibrahim Dolapo
;
Ndako, Umar Bida
- In:
International review of economics & finance : IREF
61
(
2019
),
pp. 241-259
Persistent link: https://www.econbiz.de/10012205416
Saved in:
30
Hierarchical GARCH
Brownlees, Christian
- In:
Journal of empirical finance
51
(
2019
),
pp. 17-27
Persistent link: https://www.econbiz.de/10012169952
Saved in:
31
The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis
Chen, Qiang
;
Gong, Yuting
- In:
International review of economics & finance : IREF
64
(
2019
),
pp. 102-121
Persistent link: https://www.econbiz.de/10012322288
Saved in:
32
Forecasting global stock market implied volatility indices
Degiannakis, Stavros
;
Filis, George
;
Hassani, Hossein
- In:
Journal of empirical finance
46
(
2018
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012103431
Saved in:
33
Oil and the short-term predictability of stock return volatility
Wang, Yudong
;
Wei, Yu
;
Wu, Chongfeng
;
Yin, Libo
- In:
Journal of empirical finance
47
(
2018
),
pp. 90-104
Persistent link: https://www.econbiz.de/10012103481
Saved in:
34
The decomposition of jump risks in individual stock returns
Xiao, Xiao
;
Chen Zhou
- In:
Journal of empirical finance
47
(
2018
),
pp. 207-228
Persistent link: https://www.econbiz.de/10012103499
Saved in:
35
The effect of conflict on Palestine, Israel, and Jordan stock markets
Hassouneh, Islam
;
Couleau, Anabelle
;
Serra, Teresa
; …
- In:
International review of economics & finance : IREF
56
(
2018
),
pp. 258-266
Persistent link: https://www.econbiz.de/10012033694
Saved in:
36
The dependence structure between Chinese and other major stock markets using extreme values and copulas
Hussain, Saiful Izzuan
;
Li, Steven
- In:
International review of economics & finance : IREF
56
(
2018
),
pp. 421-437
Persistent link: https://www.econbiz.de/10012033721
Saved in:
37
Estimating downside risk in stock returns under structural breaks
Hood, Matthew
;
Malik, Farooq
- In:
International review of economics & finance : IREF
58
(
2018
),
pp. 102-112
Persistent link: https://www.econbiz.de/10012034196
Saved in:
38
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka
- In:
Journal of empirical finance
49
(
2018
),
pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Saved in:
39
Financial crises and the nature of correlation between commodity and stock markets
Öztek, Mehmet Fatih
;
Öcal, Nadir
- In:
International review of economics & finance : IREF
48
(
2017
),
pp. 56-68
Persistent link: https://www.econbiz.de/10011747083
Saved in:
40
Real exchange rate returns and real stock price returns
Wong, Hock Tsen
- In:
International review of economics & finance : IREF
49
(
2017
),
pp. 340-352
Persistent link: https://www.econbiz.de/10011748479
Saved in:
41
Time-varying return-volatility relation in international stock markets
Jin, Xiaoye
- In:
International review of economics & finance : IREF
51
(
2017
),
pp. 157-173
Persistent link: https://www.econbiz.de/10011754147
Saved in:
42
What drives dynamic comovements of stock markets in the Pacific Basin region? : a quantile regression approach
Lee, Hyunchul
;
Seung Mo Cho
- In:
International review of economics & finance : IREF
51
(
2017
),
pp. 314-327
Persistent link: https://www.econbiz.de/10011754455
Saved in:
43
Volatility spillovers from Australia's major trading partners across the GFC
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
- In:
International review of economics & finance : IREF
47
(
2017
),
pp. 159-175
Persistent link: https://www.econbiz.de/10011740133
Saved in:
44
Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures
Huang, MeiChi
;
Wu, Chih-Chiang
;
Liu, Shih-Min
;
Wu, Chang-Che
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 54-71
Persistent link: https://www.econbiz.de/10011625055
Saved in:
45
Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Chang, Kuang-Liang
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 72-87
Persistent link: https://www.econbiz.de/10011625059
Saved in:
46
Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach
Shi, Yanlin
;
Ho, Kin-Yip
;
Liu, Wai-man
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 291-312
Persistent link: https://www.econbiz.de/10011625119
Saved in:
47
The overconfident trading behavior of individual versus institutional investors
Liu, Hsiang-Hsi
;
Chuang, Wen-I
;
Huang, Jih-Jeng
;
Chen, …
- In:
International review of economics & finance : IREF
45
(
2016
),
pp. 518-539
Persistent link: https://www.econbiz.de/10011626536
Saved in:
48
Information transmission and dynamics of stock price movements : an empirical analysis of BRICS and US stock markets
Bhuyan, Rafiqul
;
Robbani, Mohammad G.
;
Talukdar, Bakhtear
; …
- In:
International review of economics & finance : IREF
46
(
2016
),
pp. 180-195
Persistent link: https://www.econbiz.de/10011626744
Saved in:
49
Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba
;
Lux, Thomas
- In:
Journal of empirical finance
37
(
2016
),
pp. 1-19
Persistent link: https://www.econbiz.de/10011662890
Saved in:
50
Leverage and asymmetric volatility : the firm-level evidence
Ericsson, Jan
;
Huang, Xiao
;
Mazzotta, Stefano
- In:
Journal of empirical finance
38
(
2016
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011663127
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