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Applied Economics Volume 51, 2019 - Issue 31
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Articles

Asymmetry and leverage in GARCH models: a News Impact Curve perspective

Massimiliano CaporinDepartment of Statistical Sciences, University of Padova, Padova, ItalyCorrespondence[email protected]
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Michele CostolaSAFE, Goethe University Frankfurt, Frankfurt am Main, GermanyView further author information
Pages 3345-3364 | Published online: 21 Feb 2019

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Emmanuel Alphonsus Akpan, Kazeem Etitayo Lasisi, Imoh Udo Moffat & Ubon Akpan Abasiekwere. (2023) Appraisal of excess Kurtosis through outlier-modified GARCH-type models. Communications in Statistics - Simulation and Computation 52:4, pages 1523-1537.
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Articles from other publishers (13)

Abdinardo Moreira Barreto de Oliveira, Anandadeep Mandal & Gabriel J. Power. (2022) Impact of COVID-19 on Stock Indices Volatility: Long-Memory Persistence, Structural Breaks, or Both?. Annals of Data Science 11:2, pages 619-646.
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Sera Şanlı, Mehmet Balcılar & Mehmet Özmen. (2023) Predicting the volatility of Bitcoin returns based on kernel regression. Annals of Operations Research.
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Neenu Chalissery, Mosab I. Tabash, Mohamed Nishad T. & Maha Rahrouh. (2022) Modeling asymmetric volatility of financial assets using univariate GARCH models: An Indian perspective. Investment Management and Financial Innovations 19:4, pages 244-259.
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Paul R. Dewick. (2022) On Financial Distributions Modelling Methods: Application on Regression Models for Time Series. Journal of Risk and Financial Management 15:10, pages 461.
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Forbes Kaseke, Shaun Ramroop & Henry Mwambi. (2022) A comparative analysis of the volatility nature of cryptocurrency and JSE market. Investment Management and Financial Innovations 19:4, pages 23-39.
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Rachna Mahalwala. (2022) Analysing exchange rate volatility in India using GARCH family models. SN Business & Economics 2:9.
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Anwar Hasan Abdullah Othman, Razali Haron & Salina Kassim. 2022. Towards a Post-Covid Global Financial System. Towards a Post-Covid Global Financial System 271 290 .
Najam Iqbal, Muhammad Saqib Manzoor & Muhammad Ishaq Bhatti. (2021) Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19. Journal of Risk and Financial Management 14:7, pages 314.
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Maurice Omane‐Adjepong & Imhotep Paul Alagidede. (2020) Modelling Asymmetry and Leverage in Cryptocurrencies and Emerging Financial Markets. Economic Papers: A journal of applied economics and policy 40:2, pages 152-166.
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Gang-Jin Wang, Xin-yu Ma & Hao-yu Wu. (2020) Are stablecoins truly diversifiers, hedges, or safe havens against traditional cryptocurrencies as their name suggests?. Research in International Business and Finance 54, pages 101225.
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Maurice Omane-Adjepong & Imhotep Paul Alagidede. (2020) Dynamic Linkages and Economic Role of Leading Cryptocurrencies in an Emerging Market. Asia-Pacific Financial Markets 27:4, pages 537-585.
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Matthieu Garcin & Clément Goulet. (2019) Non-parametric news impact curve: a variational approach. Soft Computing 24:18, pages 13797-13812.
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M. Angeles Carnero & Angel Leon. (2021) Moments of Tgarch Models with Gram-Charlier Innovations. SSRN Electronic Journal.
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