Search Results - subject:"Forecasting Volatility"

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of Risk and Financial Management 14 (2021) 11, pp. 1-17

This paper builds and implements multifactor stochastic volatility models for the international oil/energy markets (Brent oil and WTI oil) for the period 2011-2021. The main objective is to make step ahead volatility predictions for the front month contracts followed by an implication discussion...

Persistent link: https://www.econbiz.de/10013201194

Forecasting stochastic volatility characteristics for the financial fossil oil market densities

Solibakke, Per Bjarte - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

Persistent link: https://www.econbiz.de/10012794710

Forecasting stock volatility with economic policy uncertainty : a smooth transition GARCH-MIDAS model

Li, Dongxin; Zhang, Li; Li, Lihong - In: International review of financial analysis 88 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014471874

Modeling and forecasting USD/UGX volatility through GARCH family models : evidence from Gaussian, T and GED distributions

Erkekoglu, Hatice; Garang, Aweng Peter Majok; Deng, … - In: International journal of economics and financial issues … 10 (2020) 2, pp. 268-281

Persistent link: https://www.econbiz.de/10012215184

On the dynamic behavior of the worldwide sovereign Credit Default Swaps markets

Sabkha, Saker - 2018

Persistent link: https://www.econbiz.de/10012165711

Forecasting crude oil price volatility via a HM-EGARCH model

Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012512591

An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange

Bucevska, Vesna - In: Business Systems Research 4 (2013) 1, pp. 49-64

Background: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has two main purposes. The first is to test...

Persistent link: https://www.econbiz.de/10011019968

Modelling and forecasting volatility of the Botswana and Namibia stock market returns : evidence using GARCH models with different distribution densities

Coffie, William - In: Global business & economics review 20 (2018) 1, pp. 18-35

Persistent link: https://www.econbiz.de/10011953628

Forecasting volatility stock return : evidence from the Nordic stock exchanges

Dritsakis, Nikolaos; Savvas, Georgios - In: International journal of economics and finance 9 (2017) 2, pp. 15-31

Persistent link: https://www.econbiz.de/10011617883

SEA presidential address: Group connectivity and cooperation

Urbano, Amparo - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 139-158

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10010317133