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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
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan - 2022
Persistent link: https://www.econbiz.de/10012800652
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan; Wilfling, Bernd - In: International journal of forecasting 40 (2024) 1, pp. 29-43
Persistent link: https://www.econbiz.de/10014450235
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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
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Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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Impacts of global-economic-policy uncertainty on emerging stock market : evidence from linear and non-linear models
Mohammad Enamul Hoque; Mohd Azlan Shah Zaidi - In: Prague economic papers : a bimonthly journal of … 29 (2020) 1, pp. 53-66
Persistent link: https://www.econbiz.de/10012593365
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Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
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Impact of exchange rate on uncertainty in stock market : evidence from Markov regime-switching GARCH family models
Zolfaghari, Mehdi; Hoseinzade, Saeid - In: Cogent economics & finance 8 (2020) 1, pp. 1-49
model the IIR volatility. We find evidence of regime-switching behaviour in Iran's stock market. After removing the …
Persistent link: https://www.econbiz.de/10013179535
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When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis
Liu, Zhenhua; Ding, Zhihua; Lv, Tao; Wang, Xu; Wang, Deqing - In: Economic modelling 114 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013367585