Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00181-023-02493-9.pdf
Reference44 articles.
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2. Alberg D, Shalit H, Yosef R (2008) Estimating stock market volatility using asymmetric GARCH models. Appl Financ Econ 18(15):1201–1208. https://doi.org/10.1080/09603100701604225
3. Aliyev F, Ajayi R, Gasim N (2020) Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100. J. Econ. Asymmetries 22(e00):167. https://doi.org/10.1016/j.jeca.2020.e00167
4. Andersen TG, Bollerslev T (1998) Answering the skeptics: yes, standard volatility models do provide accurate forecasts. Int Econ Rev. https://doi.org/10.2307/2527343
5. Andersen TG, Bollerslev T, Diebold FX et al (2003) Modeling and forecasting realized volatility. Econometrica 71(2):579–625. https://doi.org/10.1111/1468-0262.00418
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