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An empirical characterization of volatility dynamics in the DAX

Virla, Leonardo Quero - 2021

, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model …This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

Persistent link: https://www.econbiz.de/10012629944

How useful are the various volatility estimators for improving GARCH-based volatility forecasts? : evidence from the Nasdaq-100 stock index

Wang, Jying-Nan; Hsu, Yuan-Teng; Liu, Hung-Chun - In: International journal of economics and financial issues … 4 (2014) 3, pp. 651-656

Persistent link: https://www.econbiz.de/10010526918

A causality-in-variance test and its application to financial market prices

Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48

Persistent link: https://www.econbiz.de/10001198033

Threshold non-linear dynamics between Hang Seng stock index and futures returns

Chung, Hon-lun; Chan, Wai-Sum; Batten, Jonathan A. - In: The European journal of finance 17 (2011) 7/8, pp. 471-486

Persistent link: https://www.econbiz.de/10009509864

Revisiting the financial volatility : derivative products relationship on Euronext.liffe using a frequency domain analysis

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Brussels economic review 56 (2013) 3/4, pp. 349-364

Persistent link: https://www.econbiz.de/10010400880

A switching ARCH model for German DAX index

Kaufmann, Sylvia (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10003559162

Price discovery analysis of green equity indices using robust asymmetric vector autoregression

Cummins, Mark; Garry, Oonagh; Kearney, Claire - In: International review of financial analysis 35 (2014), pp. 261-267

Persistent link: https://www.econbiz.de/10010530227

A study of the causal relationship between real exchange rate of Renminbi and Hong Kong stock market index

Lee, Wai-choi - In: Modern economy 3 (2012) 5, pp. 563-566

Persistent link: https://www.econbiz.de/10009720541

Robust volatility estimation with and without the drift parameter

Shaik, Muneer; Maheswaran, S. - In: Journal of quantitative economics 17 (2019) 1, pp. 57-91

Persistent link: https://www.econbiz.de/10012418637

Trading and non-trading time return dynamics : an analysis of Swedih OMX stock index and forward returns using a GARCH framework

Hördahl, Peter; Nordén, Lars - 1996

Persistent link: https://www.econbiz.de/10000932356

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