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Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach

Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-man - In: International review of economics & finance : IREF 42 (2016), pp. 291-312

Persistent link: https://www.econbiz.de/10011625119

News sentiment and states of stock return volatility : evidence from long memory and discrete choice models

Shi, Yanlin; Ho, Kin-Yip - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012485650

How does news sentiment affect the states of Japanese stock return volatility?

Feng, Lingbing; Fu, Tong; Shi, Yanlin - In: International review of financial analysis 84 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013472878

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors

Liu, Xinyi; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496

Persistent link: https://www.econbiz.de/10009615667

Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

Lux, Thomas; Morales-Arias, Leonardo - 2009

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

Persistent link: https://www.econbiz.de/10003864486

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns

Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27

Persistent link: https://www.econbiz.de/10011897499

Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks

Wang, Cheng; Bouri, Elie; Xu, Yahua; Zhang, Dingsheng - In: Energy economics 127 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014489965

Public news arrival and the idiosyncratic volatility puzzle

Shi, Yanlin; Liu, Wai-man; Ho, Kin-Yip - In: Journal of empirical finance 37 (2016), pp. 159-172

Persistent link: https://www.econbiz.de/10011662979

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279