Detecting sudden changes in volatility estimated from high, low and closing prices
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DOI: 10.1016/j.econmod.2012.12.021
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Cited by:
- Fenghua Wen & Jihong Xiao & Chuangxia Huang & Xiaohua Xia, 2018. "Interaction between oil and US dollar exchange rate: nonlinear causality, time-varying influence and structural breaks in volatility," Applied Economics, Taylor & Francis Journals, vol. 50(3), pages 319-334, January.
- Kumar, Dilip, 2015. "Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis," Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
- Dilip Kumar, 2016. "Sudden changes in crude oil price volatility: an application of extreme value volatility estimator," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 215-234.
- Reem Khamis Hamdan & Allam Mohammed Hamdan, 2020. "Liner and nonliner sectoral response of stock markets to oil price movements: The case of Saudi Arabia," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 336-348, July.
- Alexey Yurievich Mikhaylov, 2018. "Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 321-326.
- Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
- Aloui, Chaker & Hamida, Hela ben, 2014. "Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 349-380.
- Kumar, Dilip & Maheswaran, S., 2014. "A new approach to model and forecast volatility based on extreme value of asset prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 128-140.
- Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
- Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2015. "Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate," Energy Economics, Elsevier, vol. 48(C), pages 46-60.
- Yong Jiang & Chao-Qun Ma & Xiao-Guang Yang & Yi-Shuai Ren, 2018. "Time-Varying Volatility Feedback of Energy Prices: Evidence from Crude Oil, Petroleum Products, and Natural Gas Using a TVP-SVM Model," Sustainability, MDPI, vol. 10(12), pages 1-17, December.
- Anthony Msafiri Nyangarika & Alexey Yurievich Mikhaylov & Bao-jun Tang, 2018. "Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 42-48.
- Walid Mensi & Shawkat Hammoude & Seong-Min Yoon, 2014. "Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate," Working Papers 884, Economic Research Forum, revised Dec 2014.
- Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.
- Mansour Khalili Araghi & Majid Mirzaee Ghazani, 2015. "Abrupt Changes in Volatility: Evidence from TEPIX Index in Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 19(3), pages 377-393, Autumn.
- Samit Paul, 2020. "Time Varying Efficiency in Indian Sectors: An Event Study on Demonetization," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 103-127, March.
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Keywords
IT ICSS algorithm; Regime shifts; Monte Carlo simulation; Rogers and Satchell estimator;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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