Think again: volatility asymmetry and volatility persistence

DOI10.1515/SNDE-2017-0020OpenAlexW3121364702WikidataQ129887502 ScholiaQ129887502MaRDI QIDQ2697019

Thomas Dimpfl, Dirk G. Baur

Publication date: 17 April 2023

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

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

zbMATH Keywords

quantile regressionvolatility persistencerealized volatilityvolatility feedbackvolatility asymmetry

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

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

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