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Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm

Liang, Rubing; Qin, Binbin; Xia, Qiang - In: Computational economics 63 (2024) 1, pp. 193-220

Persistent link: https://www.econbiz.de/10014472071

Differencies transformations and inference in predictive regression models

Camponovo, Lorenzo - In: Econometric theory 31 (2015) 6, pp. 1331-1358

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Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2014

Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...

Persistent link: https://www.econbiz.de/10010429997

Normality tests and its power against alternative distributions : an empirical analysis on emerging Asian stock index returns

Shaik, Muneer - In: The journal of prediction markets 16 (2022) 1, pp. 3-30

Persistent link: https://www.econbiz.de/10014289671

Improving quantile forecasts via realized double hysteretic GARCH model in stock markets

Chen, Cathy W. S.; Chien, Cindy T. H. - In: Computational economics 64 (2024) 6, pp. 3447-3471

Persistent link: https://www.econbiz.de/10015144246

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications

Chen, Liyuan; Zerilli, Paola; Baum, Christopher F. - In: Energy economics 79 (2019), pp. 111-129

Persistent link: https://www.econbiz.de/10012172264

An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns

Lengua Lafosse, Patricia; Rodriguez, Gabriel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 155-173

Persistent link: https://www.econbiz.de/10012035007

Incorporating realized quarticity into a realized stochastic volatility model

Nugroho, Didit B.; Morimoto, Takayuki - In: Asia-Pacific financial markets 26 (2019) 4, pp. 495-528

Persistent link: https://www.econbiz.de/10012309817

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470