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Search: subject:"multiplicative component"
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ARCH-Modell
3
Volatilität
3
dynamic conditional correlations
3
electricity futures
3
forecasting
3
multiplicative component
3
ARCH model
2
Estimation
2
Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH)
2
Schätzung
2
Spatial multiplicative component GARCH
2
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Volatility
2
backtests
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double-conditional smoothing
2
error distributions
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high-frequency
2
high-frequency returns
2
intraday expected shortfall (ES)
2
intraday value-at-risk (VaR)
2
model validation
2
multiplicative random effect
2
volatility arch
2
volatility saddle
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EU-Staaten
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Elektrizität
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Forecasting model
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Bauwens, Luc
3
Hafner, Christian M.
3
Pierret, Diane
3
Feng, Yuanhua
2
Narsoo, Jason
2
Summinga-Sonagadu, Ravi
2
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Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
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CIE working paper series
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1
Risk model validation: An intraday VaR and ES approach using the
multiplicative
component
GARCH
Summinga-Sonagadu, Ravi
;
Narsoo, Jason
- In:
Risks
7
(
2019
)
1
,
pp. 1-23
assess the competency of the
Multiplicative
Component
Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based …
Persistent link: https://www.econbiz.de/10013200428
Saved in:
2
Risk model validation : an intraday VaR and ES approach using the
multiplicative
component
GARCH
Summinga-Sonagadu, Ravi
;
Narsoo, Jason
- In:
Risks : open access journal
7
(
2019
)
1/10
,
pp. 1-23
assess the competency of the
Multiplicative
Component
Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based …
Persistent link: https://www.econbiz.de/10012018629
Saved in:
3
Double-conditional smoothing of high-frequency volatility surface in a spatial
multiplicative
component
GARCH with random effects
Feng, Yuanhua
-
Department Volkswirtschaftslehre, Fachbereich für …
-
2013
algorithm to carry out bivariate kernel estimation of the volatility surface. A spatial
multiplicative
component
GARCH with …
Persistent link: https://www.econbiz.de/10010902041
Saved in:
4
Double-conditional smoothing of high-frequency volatility surface in a spatial
multiplicative
component
GARCH with random effects
Feng, Yuanhua
-
2013
Persistent link: https://www.econbiz.de/10010194494
Saved in:
5
Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
-
2011
. We allow for smooth changes in the unconditional volatilities and correlations through a
multiplicative
component
that we …
Persistent link: https://www.econbiz.de/10009467125
Saved in:
6
Multivariate volatility modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
-
2011
. We allow for smooth changes in the unconditional volatilities and correlations through a
multiplicative
component
that we …
Persistent link: https://www.econbiz.de/10010330971
Saved in:
7
Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2011
. We allow for smooth changes in the unconditional volatilities and correlations through a
multiplicative
component
that we …
Persistent link: https://www.econbiz.de/10010607142
Saved in:
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