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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

Amado, Cristina; Teräsvirta, Timo - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 69-87

Persistent link: https://www.econbiz.de/10010380478

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Asymmetric jump beta estimation with implications for portfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - In: International review of economics & finance : IREF 62 (2019), pp. 20-40

Persistent link: https://www.econbiz.de/10012205461

Realized variances vs. correlations : unlocking the gains in multivariate volatility forecasting

Capera Romero, Laura; Opschoor, Anne - 2024

volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding …% and at least 78%). The results on the GMV portfolios show that realized covariance models exhibit lower ex-post volatility …

Persistent link: https://www.econbiz.de/10015064180

Beta-adjusted covariance estimation

Boudt, Kris; Dragun, Kirill; Sauri, Orimar; Vanduffel, … - 2021

Persistent link: https://www.econbiz.de/10012432948

Asymmetric models for realized covariances

Bauwens, Luc; Dzuverovic, Emilija; Hafner, Christian M. - 2024

Persistent link: https://www.econbiz.de/10015072281

Beyond connectedness: a covariance decomposition based network risk model

Akovalı, Umut - 2020

This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions, system-wide connectedness averages out the...

Persistent link: https://www.econbiz.de/10012170580

Autoregressive conditional duration models for high frequency financial data : an empirical study on mid cap exchange traded funds

Nunkoo, Houmera Bibi Sabera; Gonpot, Preethee Nunkoo; … - In: Studies in economics and finance 39 (2022) 1, pp. 150-173

Persistent link: https://www.econbiz.de/10012798505

Realized volatility, jump and beta : evidence from Canadian stock market

Gajurel, Dinesh; Chowdhury, Biplob - 2020

Persistent link: https://www.econbiz.de/10012317084

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237