Think again: volatility asymmetry and volatility persistence

DOI10.1515/SNDE-2017-0020OpenAlexW3121364702WikidataQ129887502 ScholiaQ129887502MaRDI QIDQ2697019FDOQ2697019

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 persistencevolatility feedbackvolatility asymmetry

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (1)

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

This page was built for publication: Think again: volatility asymmetry and volatility persistence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2697019)