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Stock exchange volatility forecasting under market stress with MIDAS regression
Körs, Murat; Karan, Mehmet Baha - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 295-306
Persistent link: https://www.econbiz.de/10014253189
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Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong; Chen, Cathy W. S.; Asai, Manabu - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
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The asymmetric impact of oil price uncertainty on emerging market financial stress : a quantile regression approach
Das, Debojyoti; Dutta, Anupam; Jana, Rabin K.; Ghosh, … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 4299-4323
Persistent link: https://www.econbiz.de/10014429325
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379
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Forecasting financial volatility of the Athens stock exchange daily returns : an application of the asymmetric normal mixture GARCH model
Drakos, Anastassios A.; Kouretas, Georgios P.; … - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 331-350
Persistent link: https://www.econbiz.de/10008811307
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Predicting nominal exchange rate movements using skewness information from options prices
Ratcliff, Ryan - In: International journal of finance & economics : IJFE 15 (2010) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10008702364
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Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
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A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data
Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400
Persistent link: https://www.econbiz.de/10012814585
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Volatility forecasting revisited using Markov-switching with time-varying probability transition
Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400
Persistent link: https://www.econbiz.de/10012815077
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Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1) : new evidence from cross-quantilogram approach
Tiwari, Aviral Kumar; Shahbaz, Muhammad; Khalfaoui, Rabeh; … - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 719-789
Persistent link: https://www.econbiz.de/10014469052