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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks

Segnon, Mawuli; Gupta, Rangan - 2022

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Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market

Chang, Kuang-liang - In: Energy economics 34 (2012) 1, pp. 294-306

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A Markov switching long memory model of crude oil price return volatility

Di Sanzo, Silvestro - In: Energy economics 74 (2018), pp. 351-359

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Forecasting crude oil price volatility

Herrera, Ana María; Hu, Liang; Pastor, Daniel - In: International journal of forecasting 34 (2018) 4, pp. 622-635

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Forecasting crude oil price volatility via a HM-EGARCH model

Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012512591

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

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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

COVID19 outbreak impact on international stock markets colatility contagion

Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200

volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t …We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The …-Student distributions. 21,000 intraday observations of thirteen markets from January/1st to June/25th 2020 are employed. Once volatility is …

Persistent link: https://www.econbiz.de/10015338449

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

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