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Predicting the volatility of China's new energy stock market: Deep insight from the realized EGARCH-MIDAS model
16 references·0 citing·45 second hop
Predicting the volatility of China's new energy stock market: Deep insight from the realized EGARCH-MIDAS model (2022)Predicting the volatility of China's new …Forecasting stock price volatility: New evidence from the GARCH-MIDAS model (2019)Forecasting stock price volat…How do fossil energy prices affect the stock prices of new energy companies? Evidence from Divisia energy price index in China's market (2018)How do fossil energy prices a…China's renewable energy law and policy: A critical review (2018)China's renewable energy law …Exponential GARCH Modeling With Realized Measures of Volatility (2015)Exponential GARCH Modeling Wi…Society: Realizing China's urban dream (2014)Society: Realizing China's ur…Energy markets volatility modelling using GARCH (2014)Energy markets volatility mod…Stock Market Volatility and Macroeconomic Fundamentals (2012)Stock Market Volatility and M…Out-of-Sample Forecast Tests Robust to the Choice of Window Size (2012)Out-of-Sample Forecast Tests …Realized GARCH: a joint model for returns and realized measures of volatility (2011)Realized GARCH: a joint model…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…A Simple Nonparametric Test of Predictive Performance (1992)A Simple Nonparametric Test o…Studies of stock market volatility changes (1976)Studies of stock market volat…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Climate policy uncertainty and world renewable energy index volatility forecasting (2022)Geopolitical risk and dynamic connectedness between commodity markets (2022)Specification Tests in Econometrics (1978)Forecasting tourism demand: A review of empirical research (1995)Predictability of Stock Returns: Robustness and Economic Significance (1995)Introductory Econometrics for Finance (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)New Eurocoin: Tracking Economic Growth in Real Time (2010)Now-Casting and the Real-Time Data Flow (2013)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate high‐frequency‐based volatility (HEAVY) models (2011)Artificial intelligence and machine learning in finance: A bibliometric review (2022)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Distribution of Realized Exchange Rate Volatility (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Comparing Predictive Accuracy (1994)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)Challenges and the way forward in China’s new-type urbanization (2015)Assessment on the urbanization strategy in China: Achievements, challenges and reflections (2017)The effect of urbanization on environmental pollution in rapidly developing urban agglomerations (2019)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Asymmetric volatility transmission in international stock markets (1995)Stock market volatility and the business cycle (1996)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2014Society: Realizing China's urban dream1,175 cited
  • 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 1992A Simple Nonparametric Test of Predictive Performance897 cited
  • 1976Studies of stock market volatility changes885 cited
  • 2011Realized GARCH: a joint model for returns and realized measures of volatility670 cited
  • 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size404 cited
  • 2018China's renewable energy law and policy: A critical review328 cited
  • 2014Energy markets volatility modelling using GARCH217 cited
  • 2015Exponential GARCH Modeling With Realized Measures of Volatility183 cited
  • 2019Forecasting stock price volatility: New evidence from the GARCH-MIDAS model182 cited

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  • 2018How do fossil energy prices affect the stock prices of new energy companies? Evidence from Divisia energy price index in China's market179 cited
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