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Public information arrival and stock return volatility : evidence from news sentiment and Markov Regime-Switching Approach

Shi, Yanlin; Ho, Kin-Yip; Liu, Wai-man - In: International review of economics & finance : IREF 42 (2016), pp. 291-312

Persistent link: https://www.econbiz.de/10011625119

News sentiment and states of stock return volatility : evidence from long memory and discrete choice models

Shi, Yanlin; Ho, Kin-Yip - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012485650

How does news sentiment affect the states of Japanese stock return volatility?

Feng, Lingbing; Fu, Tong; Shi, Yanlin - In: International review of financial analysis 84 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013472878

Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …

Persistent link: https://www.econbiz.de/10011296114

News augmented GARCH(1,1) model for volatility prediction

Sadik, Zryan A.; Date, Paresh M.; Mitra, Gautam - In: IMA journal of management mathematics 30 (2019) 2, pp. 165-185

Persistent link: https://www.econbiz.de/10012057108

News sentiment and stock market volatility

Hsu, Yen-Ju; Lu, Yang-cheng; Yang, J. Jimmy - In: Review of quantitative finance and accounting 57 (2021) 3, pp. 1093-1122

Persistent link: https://www.econbiz.de/10012620049

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

Persistent link: https://www.econbiz.de/10015144246

Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors

Liu, Xinyi; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496

Persistent link: https://www.econbiz.de/10009615667

Forecasting volatility under fractality, regime-switching, long memory and student-t innovations

Lux, Thomas; Morales-Arias, Leonardo - 2009

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …

Persistent link: https://www.econbiz.de/10003864486

Pair trading based on quantile forecasting of smooth transition GARCH models

Chen, Cathy W. S.; Wang, Zona; Songsak Sriboonchitta; … - In: The North American journal of economics and finance : a … 39 (2017), pp. 38-55

Persistent link: https://www.econbiz.de/10011878579