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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Estimating volatility persistence under a Brexit-vote structural break
Adesina, Tola - In: Finance research letters 23 (2017), pp. 65-68
Persistent link: https://www.econbiz.de/10011808359
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Deep learning enhanced volatility modeling with covariates
Hien Thi Nguyen; Nguyen, Hoang; Minh-Ngoc Tran - In: Finance research letters 69 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015191477
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An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing; Li, Peng; Du, Xiuli - In: Finance research letters 55 (2023) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
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A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
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Correlation impulse response functions
Hafner, Christian M.; Herwartz, Helmut - In: Finance research letters 57 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
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S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef; Chatrath, Arjun; Christie-David, Rohan - In: Finance research letters 51 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
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FX market volatility modelling : can we use low-frequency data?
Lyócsa, Štefan; Plíhal, Tomáš; Výrost, Tomáš - In: Finance research letters 40 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012820071