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An infinite hidden Markov model with GARCH for short-term interest rates
Li, Chenxing; Yang, Qiao - In: Finance research letters 80 (2025), pp. 1-18
Persistent link: https://www.econbiz.de/10015422517
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Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Feng, Lingbing; Fu, Tong; Shi, Yanlin; Wang, Zili - In: Finance research letters 40 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012819431
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News sentiment and states of stock return volatility : evidence from long memory and discrete choice models
Shi, Yanlin; Ho, Kin-Yip - In: Finance research letters 38 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012485650
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Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model
Gao, Lingbo; Ye, Wuyi; Guo, Ranran - In: Finance research letters 48 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013459321
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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
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Forecasting volatility with interacting multiple models
Svec, Jiri; Katrak, Xerxis - In: Finance research letters 20 (2017), pp. 245-252
Persistent link: https://www.econbiz.de/10011806940
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Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu; Wang, Xiaona - In: Finance research letters 34 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
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A real-rime GARCH-MIDAS model
Wu, Xinyu; Zhao, An; Cheng, Tengfei - In: Finance research letters 56 (2023), pp. 1-9
Persistent link: https://www.econbiz.de/10014473667
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Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 64 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014531739
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Enhancing exchange rate volatility prediction accuracy : assessing the influence of different indices on the USD/CNY exchange rate
Luo, Tao; Zhang, Lixia; Sun, Huaping; Bai, Jiancheng - In: Finance research letters 58 (2023) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10014631289