Search Results - subject:"variance targeting"

Merits and drawbacks of variance targeting in GARCH models

Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2009

Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi … and the merits of the variance targeting method are discussed. In particular, it is shown that when the model is …

Persistent link: https://www.econbiz.de/10005014739

Multivariate variance targeting in the BEKK–GARCH model

Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: The econometrics journal 17 (2014) 1, pp. 24-55

Persistent link: https://www.econbiz.de/10010498760

Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution: A robustness study

Pauly, Ralf; Kosater, Peter - 2005

forecasts based on the historical volatility supports to use the variance targeting method for volatility forecasting. …

Persistent link: https://www.econbiz.de/10010289317

Small-sample Properties of Estimators in an ARCH(1) and GARCH(1,1) Model with a Generalized Error Distribution: a Robustness Study

Pauly, Ralf; Kosater, Peter - Institut für Empirische Wirtschaftsforschung, … - 2005

forecasts based on the historical volatility supports to use the variance targeting method for volatility forecasting. …

Persistent link: https://www.econbiz.de/10008739196

Asymmetric dynamics in the correlations of global equity and bond returns

Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - 2003

Persistent link: https://www.econbiz.de/10011604250

Asymmetric dynamics in the correlations of global equity and bond returns

Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - European Central Bank - 2003

JEL Classification: F3, G1, C5

Persistent link: https://www.econbiz.de/10005816158