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A threshold stochastic volatility model

So, Mike Ka-pui; Li, Wai Keung; Lam, Kin - In: Journal of forecasting 21 (2002) 7, pp. 473-500

Persistent link: https://www.econbiz.de/10001775843

Improving GARCH volatility forecasts with regime-switching GARCH

Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394

Persistent link: https://www.econbiz.de/10001655657

Bayesian quantile forecasting via the realized hysteretic GARCH model

Chen, Cathy W. S.; Lin, Edward M. H.; Huang, Tara F. J. - In: Journal of forecasting 41 (2022) 7, pp. 1317-1337

Persistent link: https://www.econbiz.de/10013465697

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Trucíos, Carlos; Taylor, James W. - 2021

Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

Persistent link: https://www.econbiz.de/10013242299