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Small sample properties of GARCH estimates and persistence

Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494

Persistent link: https://www.econbiz.de/10003382813

How persistent is stock return volatility? : an answer with Markov regime switching stochastic volatility models

Hwang, Soosung; Satchell, Stephen; Pereira, Pedro L. Valls - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 1002-1024

Persistent link: https://www.econbiz.de/10003507264

Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions

Hwang, Soosung; Knight, John; Satchell, Stephen E. - China Economics and Management Academy, Central … - 2000

This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...

Persistent link: https://www.econbiz.de/10009207423

Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions

Hwang, Soosung; Knight, John; Satchell, Stephen E. - In: Annals of Economics and Finance 2 (2001) 1, pp. 187-213

Persistent link: https://www.econbiz.de/10009145691

Market risk and the concepts of fundamental volatility : measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets

Hwang, Soosung; Satchell, Stephen - In: Journal of banking & finance 24 (2000) 5, pp. 759-785

Persistent link: https://www.econbiz.de/10001467848

GARCH model with cross-sectional volatility : GARCHX models

Hwang, Soosung; Satchell, Stephen - In: Applied financial economics 15 (2005) 3, pp. 203-216

Persistent link: https://www.econbiz.de/10002598953

Market stress and herding

Hwang, Soosung; Salmon, Mark H. - 2004

Persistent link: https://www.econbiz.de/10002045646

A measure of fundamental volatility in the commercial property market

Bond, Shaun A.; Hwang, Soosung - In: Real estate economics : journal of the American Real … 31 (2003) 4, pp. 577-600

Persistent link: https://www.econbiz.de/10001845799

Forecasting nonlinear functions of returns using LINEX loss functions

Hwang, Soosung; Knight, John L.; Satchell, Stephen - In: Annals of economics and finance 2 (2001) 1, pp. 187-213

Persistent link: https://www.econbiz.de/10001732270

Market stress and herding

Hwang, Soosung; Salmon, Mark - In: Journal of empirical finance 11 (2004) 4, pp. 585-616

Persistent link: https://www.econbiz.de/10002145312