SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Covariance Forecasting in Equity Markets · Study

ArticleShelves

ArticleCovariance Forecasting in Equity Markets

Efthymia Symitsi2018

OA

Articlegreen2018

Covariance Forecasting in Equity Markets

Efthymia Symitsi · Lazaros Symeonidis · Apostolos Kourtis · Raphael N. Markellos

23 citations·0/0 files stored·Journal of Banking & Finance

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 23 citations exist upstream.

References

1973The Pricing of Options and Corporate Liabilities 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1973An Intertemporal Capital Asset Pricing Model 1995Multivariate Simultaneous Generalized ARCH 2003Modeling and Forecasting Realized Volatility 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2008A Simple Approximate Long-Memory Model of Realized Volatility

Cited by

2023Graph Neural Networks for Forecasting Realized Volatility with Nonlinear Spillover Effects

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2006Is there a risk–return trade‐off? Evidence from high‐frequency dataarticle · 17 shared references 2015Modeling Covariance Risk in Merton's ICAPMarticle · 16 shared references 2007Components of Market Risk and Returnarticle · 15 shared references 2015A new approach to measuring riskiness in the equity market: Implications for the risk premiumarticle · 15 shared references 2010The intertemporal capital asset pricing model with dynamic conditional correlationsarticle · 14 shared references 2012Risk, Uncertainty, and Expected Returnsarticle · 14 shared references

Details

Year2018

Typearticle

Published2018-01-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations23

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jbankfin.2018.08.013

openalex_workW2890124632

Links

Imported from OpenAlex (CC0) — nothing here is generated.