Similar Search Results

New volatility models under a Bayesian perspective : a case study

Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10011449738

Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Finite-sample properties of GARCH models in the presence of time-varying unconditional variance : a simulation story

Old, Oliver - 2020

Persistent link: https://www.econbiz.de/10012149432

The superiority of the EGARCH-Odd Exponentiated Skew-t model in predicting financial returns volatility

Adubisi, Obinna Damian; Abdulkadir, Ahmed; Adubisi, … - In: Iranian economic review : journal of University of Tehran 28 (2024) 4, pp. 1176-1202

Persistent link: https://www.econbiz.de/10015403117

Estimation of long memory in volatility using wavelets

Kraicová, Lucie; Baruník, Jozef - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011709605

Sequential Monte Carlo for fractional stochastic volatility models

Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517

Persistent link: https://www.econbiz.de/10011906404

Asymptotic expansion for some local volatility models arising in finance

Albeverio, Sergio; Cordoni, Francesco; Di Persio, Luca; … - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 527-573

Persistent link: https://www.econbiz.de/10012127266

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

L1 regularization for high-dimensional multivariate GARCH models

Yao, Sijie; Zou, Hui; Xing, Haipeng - In: Risks : open access journal 12 (2024) 2, pp. 1-29

carry out simulation studies to show the performance of the proposed inference framework and the procedure for selecting … tuning parameters. In addition, we apply the proposed framework to analyze volatility spillover and portfolio optimization …

Persistent link: https://www.econbiz.de/10014497339

Multivariate stochastic volatility models based on generalized Fisher transformation

Chen, Han; Fei, Yijie; Yu, Jun - 2023

Persistent link: https://www.econbiz.de/10014329798