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Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study

https://doi.org/10.3390/jrfm11020029
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Copula Methods in Finance
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Flexible Estimation of Copulas: An Application to the US Housing Crisis
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An Introduction to Copulas
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Mixed data kernel copulas
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The stochastic behavior of common stock variances Value, leverage and interest rate effects
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Expected stock returns and volatility
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No news is good news
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Gold price and stock markets nexus under mixed-copulas
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Using nonparametric copulas to measure crude oil price co-movements
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Diversification evidence from international equity markets using extreme values and stochastic copulas
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Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
inferredcites →https://doi.org/10.1016/j.intfin.2015.12.004openalex-snapshot
Extreme asymmetric volatility: Stress and aggregate asset prices
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A behavioral explanation for the negative asymmetric return–volatility relation
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.10.015openalex-snapshot
The jump component of S&P 500 volatility and the VIX index
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.08.020openalex-snapshot
International diversification: A copula approach
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.006openalex-snapshot
Volatility puzzles: a simple framework for gauging return-volatility regressions
inferredcites →https://doi.org/10.1016/j.jeconom.2009.11.005openalex-snapshot
Exponential Series Estimator of Multivariate Densities
inferredcites →https://doi.org/10.1016/j.jeconom.2014.05.008openalex-snapshot
The VIX, the variance premium and stock market volatility
inferredcites →https://doi.org/10.1016/j.jfs.2017.05.006openalex-snapshot
The asymmetric relationship between returns and implied volatility: Evidence from global stock markets
inferredcites →https://doi.org/10.1016/j.jmva.2011.07.005openalex-snapshot
Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances
inferredcites →https://doi.org/10.1016/j.physa.2016.11.141openalex-snapshot
Co-movement measure of information transmission on international equity markets
inferredcites →https://doi.org/10.1016/j.physa.2017.01.063openalex-snapshot
Tail dependence and information flow: Evidence from international equity markets
inferredcites →https://doi.org/10.1016/s0304-405x(98)00034-8openalex-snapshot
The relation between implied and realized volatility
inferredcites →https://doi.org/10.1016/s0304-4076(01)00068-9openalex-snapshot
Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns
inferredcites →https://doi.org/10.1016/s0927-5398(01)00057-3openalex-snapshot
A generalized partially linear model of asymmetric volatility
inferredcites →https://doi.org/10.1016/s0927-5398(98)00002-4openalex-snapshot
The quality of market volatility forecasts implied by S&P 100 index option prices
inferredcites →https://doi.org/10.1080/14697688.2016.1205208openalex-snapshot
A new time-varying optimal copula model identifying the dependence across markets
inferredcites →https://doi.org/10.1086/296025openalex-snapshot
Prices of State-Contingent Claims Implicit in Option Prices
inferredcites →https://doi.org/10.1093/jjfinec/nbj014openalex-snapshot
Leverage and Volatility Feedback Effects in High-Frequency Data
inferredcites →https://doi.org/10.1093/rfs/13.1.1openalex-snapshot
Asymmetric Volatility and Risk in Equity Markets
inferredcites →https://doi.org/10.1093/rfs/hhg058openalex-snapshot
Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications
inferredcites →https://doi.org/10.1093/rfs/hhi027openalex-snapshot
The Model-Free Implied Volatility and Its Information Content
inferredcites →https://doi.org/10.1093/rfs/hhp035openalex-snapshot
Variance Risk-Premium Dynamics: The Role of Jumps
inferredcites →https://doi.org/10.1103/physrev.106.620openalex-snapshot
Information Theory and Statistical Mechanics
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05127.xopenalex-snapshot
Measuring and Testing the Impact of News on Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1214/aos/1176342706openalex-snapshot
Estimation of Distributions Using Orthogonal Expansions
inferredcites →https://doi.org/10.1257/.41.2.478openalex-snapshot
Forecasting Volatility in Financial Markets: A Review
inferredcites →https://doi.org/10.1287/mnsc.1060.0579openalex-snapshot
A Theory of Volatility Spreads
inferredcites →https://doi.org/10.2139/ssrn.2252209openalex-snapshot
The VIX, the Variance Premium and Stock Market Volatility
inferredcites →https://doi.org/10.3386/w3742openalex-snapshot
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
inferredcites →https://doi.org/10.3390/jrfm11020029openalex-snapshot
Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study
inferredcites →https://doi.org/10.3905/jod.1993.407868openalex-snapshot
Derivatives on Market Volatility
inferredcites →https://doi.org/10.3905/jpm.2000.319728openalex-snapshot
The Investor Fear Gauge
inferredcites →https://doi.org/10.3905/jpm.2005.500363openalex-snapshot
Relationships Between Implied Volatility Indexes and Stock Index Returns

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4505785openalex-extracted
A new star is born: Does the VIX1D render common volatility forecasting models for the US equity market obsolete?
inferred← citeshttps://doi.org/10.1002/fut.70023openalex-snapshot
A New Star Is Born: Does the VIX1D Render Common Volatility Forecasting Models for the US Equity Market Obsolete?
inferred← citeshttps://doi.org/10.1016/j.najef.2021.101371openalex-snapshot
Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration
inferred← citeshttps://doi.org/10.1080/10618600.2020.1725523openalex-snapshot
Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
inferred← citeshttps://doi.org/10.3390/jrfm12030113openalex-snapshot
VIX Futures as a Market Timing Indicator
inferred← citeshttps://doi.org/10.3390/jrfm12040180openalex-snapshot
Nonparametric Econometric Methods and Applications
inferred← citeshttps://doi.org/10.48082/espacios-a20v41n45p07openalex-snapshot
Impacto de la comercialización de futuros sobre el índice Colcap en la volatilidad asimétrica del mercado de acciones en Colombia
inferred← citeshttps://doi.org/10.6084/m9.figshare.11973456openalex-snapshot
Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
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