Search Results - subject:"GARCH modelling"

Is inflation uncertainty a self-fulfilling prophecy? : the inflation-inflation uncertainty nexus and inflation targeting in South Africa

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - 2022

Persistent link: https://www.econbiz.de/10013435220

Is inflation uncertainty a self-fulfilling prophecy in South Africa?

Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - In: The South African journal of economics 91 (2023) 3, pp. 306-329

Persistent link: https://www.econbiz.de/10014381020

Digital finance and financial services

Özer, Mustafa - In: Digitalization and the Future of Financial Services : …, (pp. 1-17). 2022

Persistent link: https://www.econbiz.de/10013414805

A time series framework for pricing guaranteed lifelong withdrawal benefit

Sharma, Nitu; Dharmaraja, Selvamuthu; Arunachalam, … - In: Computational economics 58 (2021) 4, pp. 1225-1261

Persistent link: https://www.econbiz.de/10012697910

Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets : pre & post crisis

Vukovic, Darko B.; Lapshina, Kseniya A.; Maiti, Moinak - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013186510

Stylized Facts and Simulating Long Range Financial Data

Davies, Laurie; Krämer, Walter - 2016

We propose a new method (implemented in an R-program) to simulate long-range daily stock-price data. The program reproduces various stylized facts much better than various parametric models from the extended GARCH-family. In particular, the empirically observed changes in unconditional variance...

Persistent link: https://www.econbiz.de/10011451407