Search Results - subject:"GARCH-type model"

Volatility predictability in crude oil futures : evidence based on OVX, GARCH and stochastic volatility models

Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - In: Energy strategy reviews 50 (2023), pp. 1-12

The paper examines the volatility predictive ability of the CBOE crude oil volatility index (OVX), GARCH and Stochastic Volatility Models in the crude oil market. Specifically, the dynamics of two major crude oil pricing benchmarks - Brent in Europe and WTI in America are compared. OVX index is...

Persistent link: https://www.econbiz.de/10014574074

Vine copula-based scenario tree generation approaches for portfolio optimization

He, Xiaolei; Zhang, Weiguo - In: Journal of forecasting 43 (2024) 6, pp. 1936-1955

Persistent link: https://www.econbiz.de/10015110342

Fluctuation and reform : a tale of two RMB markets

Liang, Yousha; Shi, Kang; Wang, Lisheng; Xu, Juanyi - In: China economic review : an international journal 53 (2019), pp. 30-52

Persistent link: https://www.econbiz.de/10012314607

Tax reforms and stock return volatility : the case of Japan

Hayashida, Minoru; Ono, Hiroyuki - In: Journal of Asian economics 45 (2016), pp. 1-14

Persistent link: https://www.econbiz.de/10011630964

The UHF-GARCH-type model in the analysis of intraday volatility and price durations : the Bayesian approach

Huptas, Roman - In: Central European journal of economic modelling and … 8 (2016) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011634876