Search Results - subject:"Conditional Heteroskedasticity"

Simultaneously Modelling Conditional Heteroskedasticity and Scale Change

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

that conditional heteroskedasticity and scale change in a financial time series can be modelled simultaneously. An … proposal is applied to the daily S&P 500 and DAX 100 returns. It is shown that there are simultaneously significant conditional … heteroskedasticity and scale change in these series. …

Persistent link: https://www.econbiz.de/10005357914

Least absolute deviations estimation for ARCH and GARCH models

Peng, Liang (contributor); Yao, Qiwei (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001755629

Improving value at risk for non-normal return distributions

Nam, Doowoo; Gup, Benton E. - In: Financial risk and financial risk management, (pp. 91-116). 2002

Persistent link: https://www.econbiz.de/10001755634

Financial linkage in East Asian countries since the East Asian crisis

Chung, Chae-shick; Rhee, Chong Ook - In: Asian economic papers 1 (2002) 3, pp. 122-147

Persistent link: https://www.econbiz.de/10001765720

A threshold stochastic volatility model

So, Mike Ka-pui; Li, Wai Keung; Lam, Kin - In: Journal of forecasting 21 (2002) 7, pp. 473-500

Persistent link: https://www.econbiz.de/10001775843

Forecasting daily foreign exchange rates using genetically optimized neural networks

Nag, Ashok K.; Mitra, Amit - In: Journal of forecasting 21 (2002) 7, pp. 501-511

Persistent link: https://www.econbiz.de/10001775846

A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations

Tse, Yiu Kuen; Tsui, Albert K. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 351-362

Persistent link: https://www.econbiz.de/10001695276

Conditional jump dynamics in stock market returns

Chan, Wing Hong; Maheu, John M. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 377-389

Persistent link: https://www.econbiz.de/10001695284

On the quantile regression based tests for asymmetry in stock return volatility

Park, Beum-jo - In: Asian economic journal : journal of the East Asian … 16 (2002) 2, pp. 175-191

Persistent link: https://www.econbiz.de/10001695943

Does index futures dominate index spot? : Evidence from Taiwan market

Lin, Ching-chung; Chen, Shen-yuan; Hwang, Dar-yeh; Lin, … - In: Review of Pacific Basin financial markets and policies 5 (2002) 2, pp. 255-275

Persistent link: https://www.econbiz.de/10001697447