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  • Search: subject:"TGARCH model"
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Volatility 3 Volatilität 3 ARCH model 2 ARCH-Modell 2 TGARCH model 2 DCC-GARCH model 1 EGARCH model 1 Edgeworth expansion 1 Egypt 1 Ethereum 1 Financial market 1 Finanzmarkt 1 Forecasting model 1 GARCH models 1 GJR-GARCH model 1 ICSS algorithm 1 Litecoin 1 Option pricing theory 1 Optionspreistheorie 1 Prognoseverfahren 1 Ripple 1 Risiko 1 Risikomanagement 1 Risikomaß 1 Risk 1 Risk management 1 Risk measure 1 Saudi Arabia 1 Saudi-Arabien 1 Spillover effect 1 Spillover-Effekt 1 Theorie 1 Theory 1 Time series analysis 1 Turkey 1 Türkei 1 Virtual currency 1 Virtuelle Währung 1 Zeitreihenanalyse 1 bitcoin price forecasting 1
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Undetermined 2 CC license 1 Free 1
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Article 3
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Article in journal 3 Aufsatz in Zeitschrift 3
Language
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English 3
Author
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Ampountolas, Apostolos 1 Dawud Thongtha 1 Kumar, Dilip 1 Warunya Hongwiengjan 1
Published in...
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Economic research 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 International Journal of Financial Studies : open access journal 1
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
Did you mean: subject:"garch model" (11,935 results)
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Cryptocurrencies intraday high-frequency volatility spillover effects using univariate and multivariate GARCH models
Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-22
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of four widely traded cryptocurrencies,...
Persistent link: https://www.econbiz.de/10013368338
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An analytical approximation of option prices via TGARCH model
Warunya Hongwiengjan; Dawud Thongtha - In: Economic research 34 (2021) 1,1, pp. 948-969
Persistent link: https://www.econbiz.de/10013348049
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Risk spillover between the GIPSI economies and Egypt, Saudi Arabia, and Turkey
Kumar, Dilip - In: Emerging markets finance & trade : a journal of the … 51 (2015) 6, pp. 1193-1208
Persistent link: https://www.econbiz.de/10011561247
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