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Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing; Zhang, Zehua; Zhao, Ran - In: Finance research letters 67 (2024) 2, pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
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Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Finance research letters 54 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
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Higher moments, extreme returns, and cross-section of cryptocurrency returns
Jia, Yuecheng; Liu, Yuzheng; Yan, Shu - In: Finance research letters 39 (2021), pp. 1-6
Persistent link: https://www.econbiz.de/10012804999
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Rough volatility of Bitcoin
Takaishi, Tetsuya - In: Finance research letters 32 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012430795
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Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization
Turatti, Douglas Eduardo; Mendes, Fernando Henrique de … - In: Finance research letters 34 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012436908
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 64 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014531739
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Time-varying pricing of risk in sovereign bond futures returns
Malinská, Barbora - In: Finance research letters 47 (2022) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10013455827