Similar Search Results

Multiple-period market risk prediction under long memory : when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10010252220

On the origins of high persistence in GARCH-models

Krämer, Walter; Tameze Azamo, Baudouin; Christou, … - 2009

Persistent link: https://www.econbiz.de/10008839631

Bitcoin is not the new gold : a comparison of volatility, correlation, and portfolio performance

Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

Persistent link: https://www.econbiz.de/10011906446

Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets

Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151

Persistent link: https://www.econbiz.de/10011703972

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Long memory and structural change in the G7 inflation dynamics

Belkhouja, Mustapha; Mootamri, Imene - In: Economic modelling 54 (2016), pp. 450-462

Persistent link: https://www.econbiz.de/10011642242

Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return

Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216

Persistent link: https://www.econbiz.de/10011291298

Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model

Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45

Persistent link: https://www.econbiz.de/10011588077

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

Modeling high frequency data with long memory and structural change : A-HYEGARCH model

Shi, Yanlin; Yang, Yang - In: Risks : open access journal 6 (2018) 2, pp. 1-28

In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...

Persistent link: https://www.econbiz.de/10011811728