Think again: volatility asymmetry and volatility persistence

DOI10.1515/SNDE-2017-0020MaRDI QIDQ2697019zbMATH OpenOpenAlexWikidataFDO

Authors Dirk G. Baur, Thomas Dimpfl

Publication date 17 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2017-0020

zbMATH Keywords

quantile regressionrealized volatilityvolatility asymmetryvolatility feedbackvolatility persistence

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A nonparametric test of a strong leverage hypothesis
• Bad environments, good environments: a non-Gaussian asymmetric volatility model
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Estimating the dimension of a model
• Modeling and Forecasting Realized Volatility
• Quantile Autoregression
• Regression Quantiles
• Volatility puzzles: a simple framework for gauging return-volatility regressions

Cited in

(1)

• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin

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