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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns

Watanabe, Toshiaki - In: Journal of applied econometrics 14 (1999) 2, pp. 101-121

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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

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Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

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The non-linear trade-off between return and risk and its determinants

Cotter, John; Salvador, Enrique - 2022

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Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

Persistence of ex-ante volatility and the cross-section of stock returns

Simlai, Prodosh - In: International review of financial analysis 33 (2014), pp. 253-261

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On the observed-data deviance information criterion for volatility modeling

Chan, Joshua; Grant, Angelia L. - In: Journal of financial econometrics : official journal of … 14 (2016) 4, pp. 772-802

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The relation between overreaction in forecasts and uncertainty : a nonlinear approach

Leppin, Julian Sebastian - 2014 - This version: November 2014

account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …

Persistent link: https://www.econbiz.de/10010438928

The relation between overreaction in forecasts and uncertainty : a nonlinear approach

Leppin, Julian Sebastian - In: Journal of forecasting 35 (2016) 6, pp. 564-572

Persistent link: https://www.econbiz.de/10011596045

Unified inference for nonlinear factor models from panels with fixed and large time span

Andersen, Torben; Fusari, Nicola; Todorov, Viktor; … - In: Journal of econometrics 212 (2019) 1, pp. 4-25

Persistent link: https://www.econbiz.de/10012303860