Similar Search Results - EconBiz

A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting

Wang, Chao; Gerlach, Richard - In: Journal of forecasting 43 (2024) 1, pp. 40-57

Persistent link: https://www.econbiz.de/10014443184

Risk, Return, and Volatility Feedback : A Bayesian Nonparametric Analysis

Jensen, Mark J. - 2015

is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean …

Persistent link: https://www.econbiz.de/10013026110

Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty

Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E. - 2021

Persistent link: https://www.econbiz.de/10012589508

Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73

Persistent link: https://www.econbiz.de/10013278994

Identifying the volatility risk price through the leverage effect

Cheng, Xu; Renault, Eric; Sangrey, Paul - 2024 - This version: April 23, 2024

Persistent link: https://www.econbiz.de/10014580927

The causal relationships between inflation and inflation uncertainty

Barnett, William A.; Ftiti, Zied; Jawadi, Fredj - 2018

Persistent link: https://www.econbiz.de/10011965745

The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

International synchronization and changes in long-term inflation uncertainty

Henzel, Steffen; Wieland, Elisabeth - In: Macroeconomic dynamics 21 (2017) 4, pp. 918-946

Persistent link: https://www.econbiz.de/10011805416

Measuring macroeconomic uncertainty : an application for Iran

Heybati, Reza - In: Iranian economic review : journal of University of Tehran 25 (2021) 3, pp. 477-498

Persistent link: https://www.econbiz.de/10012664177

Sectoral uncertainty

Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022

Persistent link: https://www.econbiz.de/10013478702

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