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Testing causality between two vectors in multivariate GARCH models
Woźniak, Tomasz - In: International journal of forecasting 31 (2015) 3, pp. 876-894
Persistent link: https://www.econbiz.de/10011474616
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Using time-varying volatility for identification in vector autoregressions : an application to endogenous uncertainty
Marcellino, Massimiliano; Carriero, Andrea; Clark, Todd E. - 2021
Persistent link: https://www.econbiz.de/10012589508
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Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of econometrics 225 (2021) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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Volatility estimation using a rational GARCH model
Takaishi, Tetsuya - In: Quantitative finance and economics 2 (2018) 1, pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
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A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul; Dufour, Jean-Marie - 2019
Persistent link: https://www.econbiz.de/10012244154
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Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy; Rodriguez, Gabriel - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020
Persistent link: https://www.econbiz.de/10012435636
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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
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The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach
Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146
Persistent link: https://www.econbiz.de/10014279147
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Shortages and machine-learning forecasting of oil returns volatility : 1900-2024
Polat, Onur; Somani, Dhanashree; Gupta, Rangan; … - In: Finance research letters 79 (2025), pp. 1-7
Persistent link: https://www.econbiz.de/10015420864