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Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model. (2012). Ceylan, Ozcan.
In: GIAM Working Papers.
RePEc:ris:giamwp:2012_004.

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Cited: 4

Citations received by this document

Cites: 47

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Cocites: 50

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  1. Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153.

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  2. Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market. (2019). Nagapetyan, Artur.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0380.

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  3. Comparing «Realized volatility» models in the VaR calculation for the Russian equity market. (2014). Shcherba, Alexandr.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0240.

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  4. Return Volatility and Asymmetric News of Computer Industry stocks in Tehran Stock Exchange (TEX). (2014). Bahmani, Mohammad ; Sanginabadi, Bahram ; Sheikh, Sayed Amir .
    In: MPRA Paper.
    RePEc:pra:mprapa:70793.

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References

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