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A generalized partially linear model of asymmetric volatility

Citations

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Cited by:

  1. Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
  2. Suraj Kumar & Krishna Prasanna, 2019. "Global Financial Crisis: Dynamics of Liquidity Risk in Emerging Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 339-362, December.
  3. Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
  4. Linton, Oliver & Mammen, Enno, 2003. "Estimating semiparametric ARCH (8) models by kernel smoothing methods," LSE Research Online Documents on Economics 2187, London School of Economics and Political Science, LSE Library.
  5. Cakan Esin & Rangan Gupta, 2017. "Does the US. macroeconomic news make the South African stock market riskier?," Journal of Developing Areas, Tennessee State University, College of Business, vol. 51(4), pages 17-27, October-D.
  6. Michael Vogt, 2012. "Nonparametric regression for locally stationary time series," CeMMAP working papers CWP22/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  7. Isabel Casas & Helena Veiga, 2021. "Exploring Option Pricing and Hedging via Volatility Asymmetry," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1015-1039, April.
  8. Yu, Jun, 2012. "A semiparametric stochastic volatility model," Journal of Econometrics, Elsevier, vol. 167(2), pages 473-482.
  9. Tanha, Hassan & Dempsey, Michael, 2015. "The asymmetric response of volatility to market changes and the volatility smile: Evidence from Australian options," Research in International Business and Finance, Elsevier, vol. 34(C), pages 164-176.
  10. Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  11. Horpestad, Jone B. & Lyócsa, Štefan & Molnár, Peter & Olsen, Torbjørn B., 2019. "Asymmetric volatility in equity markets around the world," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 540-554.
  12. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  13. Mehmet Balcilar & Esin Cakan & Rangan Gupta, 2016. "Does U.S. News Impact Asian Emerging Markets? Evidence from Nonparametric Causality-in-Quantiles Test," Working Papers 201631, University of Pretoria, Department of Economics.
  14. Chaiyuth Padungsaksawasdi & Robert T. Daigler, 2014. "The Return‐Implied Volatility Relation for Commodity ETFs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(3), pages 261-281, March.
  15. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
  16. El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
  17. Ederington, Louis H. & Guan, Wei, 2013. "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3388-3400.
  18. María José Rodríguez & Esther Ruiz, 2012. "Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 637-668, September.
  19. Szu-Yin Hung & John Glascock, 2010. "Volatilities and Momentum Returns in Real Estate Investment Trusts," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 126-149, August.
  20. Rodríguez, Mª José, 2009. "GARCH models with leverage effect : differences and similarities," DES - Working Papers. Statistics and Econometrics. WS ws090302, Universidad Carlos III de Madrid. Departamento de Estadística.
  21. Dahmene, Meriam & Boughrara, Adel & Slim, Skander, 2021. "Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 676-699.
  22. O. Linton & E. Mammen, 2005. "Estimating Semiparametric ARCH(∞) Models by Kernel Smoothing Methods," Econometrica, Econometric Society, vol. 73(3), pages 771-836, May.
  23. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  24. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
  25. Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
  26. Ederington, Louis H. & Guan, Wei, 2010. "How asymmetric is U.S. stock market volatility?," Journal of Financial Markets, Elsevier, vol. 13(2), pages 225-248, May.
  27. Bugge, Sebastian A. & Guttormsen, Haakon J. & Molnár, Peter & Ringdal, Martin, 2016. "Implied volatility index for the Norwegian equity market," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 133-141.
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