Similar Search Results - EconBiz

Modeling and forecasting realized volatility : getting the most out of the jump component

Clements, Adam; Liao, Yin - 2013

Persistent link: https://www.econbiz.de/10009789511

The role of index jumps and cojumps in forecasting stock index volatility : evidence from the Dow Jones index

Clements, Adam; Liao, Yin - 2014

Persistent link: https://www.econbiz.de/10011343882

Forecasting volatility in commodity markets with climate risk

Guo, Yangli; Peng, Pei; Zhou, Ling; Tang, Yusui - In: Finance research letters 78 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015416140

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

Persistent link: https://www.econbiz.de/10013206077

Stock market volatility and economic policy uncertainty : new insight into a dynamic threshold mixed-frequency model

Zeng, Qing; Tang, Yusui; Yang, Hua; Zhang, Xi - In: Finance research letters 59 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014445136

Does the US stock market information matter for European equity market volatility : a multivariate perspective?

Tang, Yusui; Ma, Feng; Wahab, M. I. M.; Wei, Yu - In: Applied economics 54 (2022) 58, pp. 6726-6743

Persistent link: https://www.econbiz.de/10013494246

Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model

Tang, Yusui; Ma, Feng; Zhang, Yaojie; Wei, Yu - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4770-4783

Persistent link: https://www.econbiz.de/10013461377

Predicting gold volatility : exploring the impact of extreme risk in the international commodity market

Tang, Yusui; Zhong, Juandan - In: Finance research letters 58 (2023) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10014631292

The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks

Liao, Yin - In: Pacific-Basin finance journal 23 (2013), pp. 25-48

Persistent link: https://www.econbiz.de/10009737829

Does modeling jumps help? : a comparision of realized volatility models for risk prediction

Liao, Yin - 2012

Persistent link: https://www.econbiz.de/10009562424

A service of the