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Risk and Volatility: Econometric Models and Financial Practice
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Daniel B. Nelson, 1959–1995
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Linear time-varying regression with Copula–DCC–GARCH models for volatility
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Modelling stock return volatility dynamics in selected African markets
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Financial contagion and volatility spillover: An exploration into Indian commodity derivative market
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A new bootstrap assisted test for checking second order stationarity
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Intraday-of-the-week effects: What do the exchange rate data tell us?
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Inventories and upstream gasoline price dynamics
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U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis
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The COVID-19 storm and the energy sector: The impact and role of uncertainty
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Money laundering and terrorism financing detection using neural networks and an abnormality indicator
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The effect of uncertainty index based on sparse method on volatility prediction of stock market
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Forecasting of nonlinear time series using ANN
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WITHDRAWN: Forecasting of nonlinear time series using artificial neural network
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
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Short selling and firms’ long-term stock return volatility: Evidence from Chinese concept stocks in Hong Kong
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Range-based multivariate volatility model with double smooth transition in conditional correlation
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Causal Economics: A new pluralist framework for behavioral economics that advances theoretical and applied foundations
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Financialisation of commodities – Empirical evidence from the Indian financial market
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Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?
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Forecasting risk with Markov-switching GARCH models:A large-scale performance study
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Forecasting: theory and practice
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Field-aware attentive neural factorization with fuzzy mutual information for company investment valuation
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Comparative analysis of bureaux de change and official exchange rates volatility in Nigeria
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Asymmetric volatility in the foreign exchange markets
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Cryptocurrencies trading using Parrondo’s Paradox
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Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence
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Forecasting VaR using analytic higher moments for GARCH processes
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Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data
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What the Hack: Systematic Risk Contagion from Cyber Events
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Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence
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Google search trends and stock markets: Sentiment, attention or uncertainty?
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The illusion of the metaverse and meta-economy
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Asymmetric herding as a source of asymmetric return volatility
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Is volatility clustering of asset returns asymmetric?
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Contagion and banking crisis – International evidence for 2007–2009
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Price volatility and speculative activities in futures commodity markets: A combination of combinations of p-values test
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Social interaction, volatility clustering, and momentum
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Priced risk and asymmetric volatility in the cross section of skewness
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The ZD-GARCH model: A new way to study heteroscedasticity
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An evolutionary game theory explanation of ARCH effects
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Endogenous participation risk in speculative markets
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