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Search: subject:"Generalized Autoregressive Conditional Heteroscedasticity (GARCH)"
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ARCH model
15
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Estimation theory
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7
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generalized autoregressive conditional heteroscedasticity (GARCH)
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Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
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Chlebus, Marcin
2
Abad, Pilar
1
Ardia, David
1
Bekri, Mahmoud
1
Benito Muela, Sonia
1
Bonga-Bonga, Lumengo
1
Buczy´nski, Mateusz
1
Buczyński, Mateusz
1
Butler, Andrew
1
Chen, Suduan
1
Curcic, Nikola
1
Diakodimitriou, Danai
1
Dimitriou, Dimitrios
1
Feng, Yuanhua
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Gatarek, Lukasz
1
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1
Gonpot, Preethee Nunkoo
1
Gonzalez-Rivera, Gloria
1
Hoogerheide, Lennart
1
Kallandranis, Christos
1
Kim, Young Shin
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Kwon, Roy H.
1
Letmathe, Sebastian
1
López-Martín, Carmen
1
Miletic, Vuk
1
Milojkovic, Dragana
1
Nunkoo, Houmera Bibi Sabera
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Qiao, Xiao
1
Radivojevic, Nikola
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Ramanathan, Thekke Variyam
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Račev, Svetlozar T.
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Shen, Xiangjin
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Sookia, Noor Ul Hacq
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Sánchez Granero, Miguel Angel
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Tsioutsios, Alexandros
1
Uhde, André
1
Umoetok, Ekerete
1
Vlassas, Ioannis
1
Wang, Yongning
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Wong, Hock Tsen
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Journal of risk
6
The journal of risk model validation
3
Applied economics
1
Econometric Reviews
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Eurasian economic review : a journal in applied macroeconomics and finance
1
International journal of Islamic and Middle Eastern finance and management
1
Journal of risk : JOR
1
The journal of energy markets
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ECONIS (ZBW)
15
RePEc
1
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1
On the contagion effect between crude oil and agricultural commodity markets : a dynamic conditional correlation and spectral analysis
Kallandranis, Christos
;
Dimitriou, Dimitrios
; …
- In:
The journal of energy markets
16
(
2023
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014485210
Saved in:
2
Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data
Nunkoo, Houmera Bibi Sabera
;
Sookia, Noor Ul Hacq
; …
- In:
Journal of risk : JOR
26
(
2023
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014487297
Saved in:
3
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
4
The importance of window size : a study on the required window size for optimal-quality market risk models
Buczyński, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014540551
Saved in:
5
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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6
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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7
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
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8
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
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9
Seasoned equity offerings or capital deductions? : the reaction of stock prices : evidence from Taiwan
Chen, Suduan
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
3
,
pp. 644-660
Persistent link: https://www.econbiz.de/10011764347
Saved in:
10
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
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