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Cross-sectional return dispersion and stock market volatility : evidence from high-frequency data

Niu, Zibo; Demirer, Rıza; Suleman, Muhammad Tahir; … - In: Journal of forecasting 42 (2023) 6, pp. 1309-1328

Persistent link: https://www.econbiz.de/10014338888

Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets

Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151

Persistent link: https://www.econbiz.de/10011703972

Revisiting the oil price and stock market nexus : a nonlinear Panel ARDL approach

Salisu, Afees A.; Isah, Kazeem O. - In: Economic modelling 66 (2017), pp. 258-271

Persistent link: https://www.econbiz.de/10011813734

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

The impact of tail risk on stock market returns : the role of market sentiment

Chevapatrakul, Thanaset; Xu, Zhongxiang; Yao, Kai - In: International review of economics & finance : IREF 59 (2019), pp. 289-301

Persistent link: https://www.econbiz.de/10012202875

Impacts of asymmetry on forecasting realized volatility in Japanese stock markets

Maki, Daiki; Ota, Yasushi - In: Economic modelling 101 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10012796559

Forecasting stock prices with commodity prices : new evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities

Fasanya, Ismail Olaleke; Adekoya, Oluwasegun B.; … - In: Economic systems 47 (2023) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014317524

Estimating Loss Functions of Experts

Franses, Philip Hans; Legerstee, Rianne; Paap, Richard - 2011

assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex … outcomes with those for statistical model-based forecasts of the same sales data. We find substantial evidence for asymmetry in …

Persistent link: https://www.econbiz.de/10010326488

Asymmetries in risk premia, macroeconomic uncertainty and business cycles

Görtz, Christoph; Yeromonahos, Mallory - 2021

Persistent link: https://www.econbiz.de/10012878659

Option-Implied Asymmetry and Market Returns

O'Sullivan, Conall; Wang, Yan - 2022

estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk … one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market …

Persistent link: https://www.econbiz.de/10014236004