FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2953018156> ?p ?o ?g. }

• W2953018156 endingPage "154" @default.
• W2953018156 startingPage "143" @default.
• W2953018156 abstract "Abstract The leverage effect—the correlation between an asset's return and its volatility—has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve forecasts, empirical evidence puzzlingly does not show that this effect exists for many individual stocks, mischaracterizing risk, and therefore leading to poor predictive performance. We examine this puzzle, with the goal to improve density forecasts, by relaxing the assumption of linearity of the leverage effect. Nonlinear generalizations of the leverage effect are proposed within the Bayesian stochastic volatility framework in order to capture flexible leverage structures. Efficient Bayesian sequential computation is developed and implemented to estimate this effect in a practical, on‐line manner. Examining 615 stocks that comprise the S&P500 and Nikkei 225, we find that our proposed nonlinear leverage effect model improves predictive performances for 89% of all stocks compared to the conventional stochastic volatility model." @default.
• W2953018156 created "2019-06-27" @default.
• W2953018156 creator A5002957015 @default.
• W2953018156 creator A5030784610 @default.
• W2953018156 creator A5060273715 @default.
• W2953018156 date "2019-08-16" @default.
• W2953018156 modified "2023-10-16" @default.
• W2953018156 title "Volatility forecasts using stochastic volatility models with nonlinear leverage effects" @default.
• W2953018156 cites W1965635191 @default.
• W2953018156 cites W1999674105 @default.
• W2953018156 cites W1999814123 @default.
• W2953018156 cites W2006168029 @default.
• W2953018156 cites W2006217430 @default.
• W2953018156 cites W2014730874 @default.
• W2953018156 cites W2061160212 @default.
• W2953018156 cites W2075503097 @default.
• W2953018156 cites W2090138378 @default.
• W2953018156 cites W2115722408 @default.
• W2953018156 cites W2118376153 @default.
• W2953018156 cites W2126434678 @default.
• W2953018156 cites W2127297724 @default.
• W2953018156 cites W2128266748 @default.
• W2953018156 cites W2131598171 @default.
• W2953018156 cites W2132236499 @default.
• W2953018156 cites W2143100759 @default.
• W2953018156 cites W2144246192 @default.
• W2953018156 cites W2146848558 @default.
• W2953018156 cites W2148613679 @default.
• W2953018156 cites W2165343664 @default.
• W2953018156 cites W2165609874 @default.
• W2953018156 cites W2170621196 @default.
• W2953018156 cites W2195574582 @default.
• W2953018156 cites W2312404966 @default.
• W2953018156 cites W3021661707 @default.
• W2953018156 cites W3121154744 @default.
• W2953018156 cites W3121918541 @default.
• W2953018156 cites W3123741823 @default.
• W2953018156 cites W3125037581 @default.
• W2953018156 cites W3125710411 @default.
• W2953018156 cites W3126072850 @default.
• W2953018156 cites W4211177544 @default.
• W2953018156 cites W4250856143 @default.
• W2953018156 cites W4256038730 @default.
• W2953018156 doi "https://doi.org/10.1002/for.2618" @default.
• W2953018156 hasPublicationYear "2019" @default.
• W2953018156 type Work @default.
• W2953018156 sameAs 2953018156 @default.
• W2953018156 citedByCount "3" @default.
• W2953018156 countsByYear W29530181562021 @default.
• W2953018156 countsByYear W29530181562022 @default.
• W2953018156 crossrefType "journal-article" @default.
• W2953018156 hasAuthorship W2953018156A5002957015 @default.
• W2953018156 hasAuthorship W2953018156A5030784610 @default.
• W2953018156 hasAuthorship W2953018156A5060273715 @default.
• W2953018156 hasConcept C107673813 @default.
• W2953018156 hasConcept C119857082 @default.
• W2953018156 hasConcept C121332964 @default.
• W2953018156 hasConcept C149782125 @default.
• W2953018156 hasConcept C153083717 @default.
• W2953018156 hasConcept C154945302 @default.
• W2953018156 hasConcept C158622935 @default.
• W2953018156 hasConcept C162324750 @default.
• W2953018156 hasConcept C23922673 @default.
• W2953018156 hasConcept C2985497776 @default.
• W2953018156 hasConcept C41008148 @default.
• W2953018156 hasConcept C62520636 @default.
• W2953018156 hasConcept C85393063 @default.
• W2953018156 hasConcept C91602232 @default.
• W2953018156 hasConceptScore W2953018156C107673813 @default.
• W2953018156 hasConceptScore W2953018156C119857082 @default.
• W2953018156 hasConceptScore W2953018156C121332964 @default.
• W2953018156 hasConceptScore W2953018156C149782125 @default.
• W2953018156 hasConceptScore W2953018156C153083717 @default.
• W2953018156 hasConceptScore W2953018156C154945302 @default.
• W2953018156 hasConceptScore W2953018156C158622935 @default.
• W2953018156 hasConceptScore W2953018156C162324750 @default.
• W2953018156 hasConceptScore W2953018156C23922673 @default.
• W2953018156 hasConceptScore W2953018156C2985497776 @default.
• W2953018156 hasConceptScore W2953018156C41008148 @default.
• W2953018156 hasConceptScore W2953018156C62520636 @default.
• W2953018156 hasConceptScore W2953018156C85393063 @default.
• W2953018156 hasConceptScore W2953018156C91602232 @default.
• W2953018156 hasIssue "2" @default.
• W2953018156 hasLocation W29530181561 @default.
• W2953018156 hasOpenAccess W2953018156 @default.
• W2953018156 hasPrimaryLocation W29530181561 @default.
• W2953018156 hasRelatedWork W1578601330 @default.
• W2953018156 hasRelatedWork W1814362305 @default.
• W2953018156 hasRelatedWork W2070516830 @default.
• W2953018156 hasRelatedWork W2188504713 @default.
• W2953018156 hasRelatedWork W2774307810 @default.
• W2953018156 hasRelatedWork W2972318011 @default.
• W2953018156 hasRelatedWork W3121586772 @default.
• W2953018156 hasRelatedWork W3121592037 @default.
• W2953018156 hasRelatedWork W4293863797 @default.
• W2953018156 hasRelatedWork W3122277698 @default.
• W2953018156 hasVolume "39" @default.
• W2953018156 isParatext "false" @default.

• next