Search Results - subject:"Generalized autoregressive conditional heteroscedasticity"

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Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals

Stindl, Tom - In: Journal of empirical finance 70 (2023), pp. 182-198

Persistent link: https://www.econbiz.de/10014423627

Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices

Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321

Persistent link: https://www.econbiz.de/10014423712

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh K.; Sankar, Jayendira P. - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552

Option-Implied Filtering : Evidence from the GARCH Option Pricing Model

Li, Bingxin - 2023

One crucial task of option price modeling is to estimate latent state variables. This paper emphasizes the importance of incorporating option implied information to update latent state variables and sheds light on numerical developments to alleviate the cumbersome estimation process in option...

Persistent link: https://www.econbiz.de/10014348928

The linkage between international dairy commodity prices and volatility : a panel-GARCH analysis

Rezitis, Anthony N.; Tremma, Ourania A. - In: Journal of agribusiness in developing and emerging … 13 (2023) 5, pp. 685-705

Persistent link: https://www.econbiz.de/10014450183

Long memory and structural breaks of cryptocurrencies trading volume

Ahmed, Mohamed Shaker; Bouri, Elie - In: Eurasian economic review : a journal in applied … 13 (2023) 3/4, pp. 469-497

Persistent link: https://www.econbiz.de/10014451988

Excess volatility pursuit in autoregressive GARCH model based panel data analysis at country level : BRICS context

Ahmed, Wajid Shakeel; Khan, Muhammad Shoaib; Sheikh, … - In: International journal of emerging markets 18 (2023) 10, pp. 3703-3719

Persistent link: https://www.econbiz.de/10014454414

The effect of uncertainty on stock market volatility and correlation

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Journal of banking & finance 154 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014486544

Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach

Chen, Jiusheng - In: Journal of risk : JOR 25 (2023) 3, pp. 77-127

Persistent link: https://www.econbiz.de/10014487093

Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation

Hassani, Samir Saissi; Dionne, Georges - In: Journal of risk : JOR 25 (2023) 6, pp. 73-103

Persistent link: https://www.econbiz.de/10014487244

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