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Evaluating and improving GARCH-based volatility forecasts with range-based estimators
Hung, Jui-cheng; Lou, Tien-wei; Wang, Yi-hsien; Lee, Jun-de - In: Applied economics 45 (2013) 28/30, pp. 4041-4049
Persistent link: https://www.econbiz.de/10010345765
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The derivation of the NPV variance of a risky capital investment project with first-order autoregressive cash flows and autoregressive conditional heteroscedastic variances
Paquin, Jean-Paul; Charbonneau, Alain; Tessier, David - In: Applied economics 47 (2015) 10/12, pp. 1170-1186
Persistent link: https://www.econbiz.de/10010486263
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The effectiveness of index futures hedging in emerging markets during the crisis period of 2008-2010 : evidence from South Africa
Bonga-Bonga, Lumengo; Umoetok, Ekerete - In: Applied economics 48 (2016) 40/42, pp. 3999-4018
Persistent link: https://www.econbiz.de/10011639941
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High-low range in GARCH models of stock return volatility
Molnár, Peter - In: Applied economics 48 (2016) 49/51, pp. 4977-4991
Persistent link: https://www.econbiz.de/10011641414
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Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min; Jung, Hojin; Qin, Li - In: Applied economics 48 (2016) 16/18, pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
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Forecasting the Chinese stock market volatility : a regression approach with a t-distributed error
He, Mengxi; Zhang, Yaojie; Wen, Danyan; Wang, Yudong - In: Applied economics 54 (2022) 50, pp. 5811-5826
Persistent link: https://www.econbiz.de/10013411306
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Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs; Licht, Adrian - In: Applied economics 52 (2020) 11, pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
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Directional time-varying partial correlation with the Gaussian copula-DCC-GARCH model
Kim, Jong-Min; Jung, Hojin - In: Applied economics 50 (2018) 41, pp. 4418-4426
Persistent link: https://www.econbiz.de/10012061173
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Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen; Chuang, I-Yuan - In: Applied economics 53 (2021) 4, pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
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Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520
Persistent link: https://www.econbiz.de/10012416072