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Search: subject:"conditional heteroscedasticity"
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Computational economics
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
4
The determinants of Bitcoin's price : utilization of garch and machine learning approaches
Chen, Ting-Hsuan
;
Chen, Muyan
;
Du, Guan-Ting
- In:
Computational economics
57
(
2021
)
1
,
pp. 267-280
Persistent link: https://www.econbiz.de/10012486899
Saved in:
5
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
6
Forecasting financial returns volatility : a GARCH-SVR model
Sun, Hao
;
Yu, Bo
- In:
Computational economics
55
(
2020
)
2
,
pp. 451-471
Persistent link: https://www.econbiz.de/10012223641
Saved in:
7
How strong is the relationship among gold and USD exchange rates? : analytics based on structural change models
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Lee, Sangyoel
; …
- In:
Computational economics
53
(
2019
)
1
,
pp. 343-366
Persistent link: https://www.econbiz.de/10012134682
Saved in:
8
Analyzing contagion effect in markets during financial crisis using stochastic autoregressive canonical vine model
Goel, Anubha
;
Mehra, Aparna
- In:
Computational economics
53
(
2019
)
3
,
pp. 921-950
Persistent link: https://www.econbiz.de/10012135103
Saved in:
9
A hybrid metaheuristic for the efficient solution of GARCH with trend models
Uribe, Lourdes
;
Perea, Benjamin
;
Hernández del Valle, …
- In:
Computational economics
52
(
2018
)
1
,
pp. 145-166
Persistent link: https://www.econbiz.de/10012052926
Saved in:
10
On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.
;
Li, Muyi
;
Nguyen, Nga T. H.
;
Songsak …
- In:
Computational economics
49
(
2017
)
1
,
pp. 155-174
Persistent link: https://www.econbiz.de/10011751821
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