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Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies
16 references·2 citing·40 second hop
Forecasting volatility during the outbreak of Russian invasion of Ukraine: Application to commodities, stock indices, currencies, and cryptocurrencies (2022)Forecasting volatility during the outbrea…The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach (2022)The reaction of G20+ stock ma…The impact of the Ukraine–Russia war on world stock market returns (2022)The impact of the Ukraine–Rus…The impact of the Russia-Ukraine conflict on the connectedness of financial markets (2022)The impact of the Russia-Ukra…Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine (2022)Heterogeneous impacts of wars…Forecasting: theory and practice (2022)Forecasting: theory and pract…Geopolitical risks and the oil-stock nexus over 1899–2016 (2017)Geopolitical risks and the oi…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Consistent ranking of volatility models (2005)Consistent ranking of volatil…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Inequality Constraints in the Univariate GARCH Model (1992)Inequality Constraints in the…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Does war spread the herding effect in stock markets? Evidence from emerging and developed markets during the Russia-Ukraine war (2024)Does war spread the herding e…Digital loans and buy now pay later from LendTech versus bank loans in the era of ‘black swans’: Complementarity in the area of consumer financing (2024)Digital loans and buy now pay…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)ARCH modeling in finance (1992)Quadratic ARCH Models (1995)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Parametric and Nonparametric Volatility Measurement (2010)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Fuzzy sets (1965)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)User Acceptance of Computer Technology: A Comparison of Two Theoretical Models (1989)Deep Learning for Time Series Forecasting: Tutorial and Literature Survey (2022)Forecast combinations: An over 50-year review (2022)Forecast evaluation for data scientists: common pitfalls and best practices (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)There is a risk-return trade-off after all (2005)Stock Market Volatility and Macroeconomic Fundamentals (2012)Option pricing when underlying stock returns are discontinuous (1976)Expected Stock Returns and Variance Risk Premia (2009)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2022Forecasting: theory and practice942 cited
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  • 2022The impact of the Ukraine–Russia war on world stock market returns569 cited
  • 2022Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine522 cited
  • 2022The impact of the Russia-Ukraine conflict on the connectedness of financial markets428 cited
  • 2017Geopolitical risks and the oil-stock nexus over 1899–2016413 cited
  • 2005

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Consistent ranking of volatility models
379 cited
  • 2022The reaction of G20+ stock markets to the Russia–Ukraine conflict “black-swan” event: Evidence from event study approach377 cited
  • Cited by

    • 2024Does war spread the herding effect in stock markets? Evidence from emerging and developed markets during the Russia-Ukraine war33 cited
    • 2024Digital loans and buy now pay later from LendTech versus bank loans in the era of ‘black swans’: Complementarity in the area of consumer financing22 cited