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Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility

Nonejad, Nima - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013534202

Integration und Volatilität bei Emerging Markets

Herrmann, Frank - 2005 - Gabler Edition Wissenschaft

Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der entwickelten Märkte, so dass durch Diversifikation der Investmentanlagen eine Verringerung des Portfoliorisikos erreicht werden kann. Die zunehmende Integration...

Persistent link: https://www.econbiz.de/10013517438

The Fu (2009) positive relation between idiosyncratic volatility and expected returns is due to look-ahead bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - In: Critical finance review 12 (2023) 1/4, pp. 57-124

Persistent link: https://www.econbiz.de/10014370370

The asymmetric responses of aggregate earnings and stock returns to oil shocks and policy uncertainty

Kang, Wensheng - In: Asia-Pacific journal of accounting & economics : … 29 (2022) 1, pp. 97-109

Persistent link: https://www.econbiz.de/10012820818

The joint cross section of stocks and options

An, Byeong-je; Ang, Andrew; Bali, Turan G.; Cakici, Nusret - 2013

Persistent link: https://www.econbiz.de/10010210735

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

Persistent link: https://www.econbiz.de/10010392823