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Forecast of realized covariance matrix based on asymptotic distribution of the LU decomposition with an application for balancing minimum variance portfolio
Kim, Hee-Soo; Shin, Dong-wan - In: Applied economics letters 26 (2019) 8, pp. 661-668
Persistent link: https://www.econbiz.de/10012204303
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European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 : a comparative DCC-GARCH and wavelet correlation analysis
Dajcman, Silvio; Festić, Mejra; Kavkler, Alenka - In: Applied economics letters 19 (2012) 13/15, pp. 1249-1256
Persistent link: https://www.econbiz.de/10009680562
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Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution
Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914
Persistent link: https://www.econbiz.de/10015084570
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A forecast comparison of volatility models using realized volatility : evidence from the Bitcoin market
Hattori, Takahiro - In: Applied economics letters 27 (2020) 7, pp. 591-595
Persistent link: https://www.econbiz.de/10012205740
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Value at risk forecasting for volatility index
Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
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Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi; Tong, Bin - In: Applied economics letters 22 (2015) 16/18, pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
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Contribution to portfolio tracking error volatility with geometric illustration
Zhang, Jubao; Ma, Juan - In: Applied economics letters 31 (2024) 20, pp. 2176-2181
Persistent link: https://www.econbiz.de/10015095156
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Sentiment's effect on the variance of stock returns
Olson, Eric; Nowak, Adam - In: Applied economics letters 27 (2020) 18, pp. 1469-1473
Persistent link: https://www.econbiz.de/10012315615
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A study of financial volatility forecasting techniques in the FTSE ASE 20 index
Maris, K.; Pantou, G.; Nikolopoulos, K.; Pagourtzi, E.; … - In: Applied economics letters 11 (2004) 7, pp. 453-457
Persistent link: https://www.econbiz.de/10002111344
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CAPM and the changing distribution of historical returns
Shahi, Chandana; Shaffer, Sherrill - In: Applied economics letters 24 (2017) 7/9, pp. 639-642
Persistent link: https://www.econbiz.de/10011713072