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Asymmetry and Leverage in Conditional Volatility Models [PDF]
Econometrics, 2014 The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle ...
Michael McAleer
exaly +10 more sources
Asymmetric conditional volatility in international stock markets [PDF]
Physica A: Statistical Mechanics and Its Applications, 2007 11 pages, 3 ...
Nuno B Ferreira +2 more
exaly +4 more sources
Economic Journal of Emerging Markets, 2011 This paper uncovers the nature of conditional correlations between and volatility spillovers across bond, stock and foreign exchange in Indonesia, Malaysia, the Philippines, and Thailand.
Abdul Hakim
doaj +9 more sources
Conditional Volatility Targeting [PDF]
Financial Analysts Journal, 2020 In analyzing the performance of volatility-targeting strategies, we found that conventional volatility targeting fails to consistently improve performance in global equity markets and can lead to markedly greater drawdowns. Motivated by return patterns in various volatility states, we propose a strategy of conditional volatility targeting that adjusts ...
Dion Bongaerts +2 more
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Autoregresive conditional volatility, skewness and kurtosis [PDF]
The Quarterly Review of Economics and Finance, 2005 Ángel León and Gonzalo Rubio acknowledge the financial support provided by the Ministerio de Ciencia y Tecnología, grants BEC2002-03797 and BEC2001-0636 respectively, and also thank the Fundación BBVA research grant 1-BBVA 00044.321-15466/2002.
León, Angel +2 more
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A Stochastic Volatility Model With Conditional Skewness [PDF]
Journal of Business & Economic Statistics, 2011 Les auteurs élaborent un modèle discret affine à volatilité stochastique et asymétrie conditionnelle variable (modèle SVS). Leur approche a ceci d’intéressant qu’elle dissocie de façon cohérente la dynamique de la volatilité conditionnelle de celle de l’asymétrie conditionnelle.
Feunou, Bruno, Tédongap, Roméo
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A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries [PDF]
Journal of Economics Finance and Administrative Science, 2017 Purpose - This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank ...
Nara Rossetti +2 more
doaj +1 more source
Alternative models for conditional stock volatility [PDF]
Journal of Econometrics, 1990 Abstract This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-1925 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity. We show
Adrian R. Pagan, G. William Schwert
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The Nexus between Sovereign CDS and Stock Market Volatility: New Evidence
Mathematics, 2021 This paper extends the studies published to date by performing an analysis of the causal relationships between sovereign CDS spreads and the estimated conditional volatility of stock indices.
Laura Ballester +2 more
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Are News Effects Necessarily Asymmetric? Evidence from Bangladesh Stock Market
SAGE Open, 2022 The primary objective of this paper is to empirically examine the nature and statistical significance of the news effect on conditional volatility of unpredictable components of stock returns.
Shekar Bose, Hafizur Rahman
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