Estimation of tail thickness parameters from GJR-GARCH models [PDF]
We propose a method of estimating the Pareto tail thickness parameter of the unconditional distribution of a financial time series by exploiting the implications of a GJR-GARCH volatility model.
Emma M. Iglesias, Oliver Linton
core
A risk measurement study evaluating the impact of COVID-19 on China's financial market using the QR-SGED-EGARCH model. [PDF]
Ann Oper Res, 2023 Song M, Sui Z, Zhao X.
europepmc +1 more source
Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range [PDF]
We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatilityforecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100.
Cameron Truong, Charles Corrado
core
Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. [PDF]
Resour Policy, 2022 Syuhada K +4 more
europepmc +1 more source
The linkage between Bitcoin and foreign exchanges in developed and emerging markets. [PDF]
Financ Innov, 2023 BenSaïda A.
europepmc +1 more source
Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation [PDF]
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. Recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting performance.
Massimiliano Caporin, Michael McAleer
core
Forecasting with a Bivariate Hysteretic Time Series Model Incorporating Asymmetric Volatility and Dynamic Correlations. [PDF]
Entropy (Basel)Than HT.
europepmc +1 more source
Stock market volatility from the Covid-19 pandemic: New evidence from the Asia-Pacific region. [PDF]
Heliyon, 2022 Vo DH, Ho CM, Dang TH.
europepmc +1 more source
Cross-market volatility spillovers between China and the United States: A DCC-EGARCH-t-Copula framework with out-of-sample forecasting. [PDF]
PLoS OneZeng J, Wu J.
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Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets. [PDF]
Comput Econ, 2022 Harb E, Bassil C, Kassamany T, Baz R.
europepmc +1 more source