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Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10010417180

Interconnections between Eurozone and us booms and us busts using a Bayesian panel Markov-switching VAR model

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of applied econometrics 31 (2016) 7, pp. 1352-1370

Persistent link: https://www.econbiz.de/10011687515

Optimal portfolio choice under decision-based model combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - In: Journal of applied econometrics 31 (2016) 7, pp. 1312-1332

Persistent link: https://www.econbiz.de/10011687755

Using entropic tilting to combine BVAR forecasts with external nowcasts

Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 470-485

Persistent link: https://www.econbiz.de/10011705954

Forecasting cryptocurrencies under model and parameter instability

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501

Persistent link: https://www.econbiz.de/10012300691

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011571858

An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - In: Applied economics 49 (2017) 7, pp. 677-692

Persistent link: https://www.econbiz.de/10011810876