Similar Search Results

Narrow search

Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

Kumar, Dilip - In: IIMB management review 29 (2017) 4, pp. 294-310

Persistent link: https://www.econbiz.de/10011879691

Sudden changes in crude oil price volatility : an application of extreme value volatility estimator

Kumar, Dilip - In: American journal of finance and accounting 4 (2015/2016) 3/4, pp. 215-234

Persistent link: https://www.econbiz.de/10011713524

Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR

Irfan, Mohammad; Irfan, Maria; Awais, Muhammad - In: International journal of economic perspectives : IJEP 4 (2010) 4, pp. 635-654

Persistent link: https://www.econbiz.de/10011587802

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns

Doblas, Mark P.; Natarajan, Vinodh K.; Sankar, Jayendira P. - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636

Persistent link: https://www.econbiz.de/10014424552