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Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic

Caiado, Jorge; Lúcio, Francisco - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014485321

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

Exploring the impact of oil security attention on oil volatility : a new perspective

Wang, Lu; Li, Shan; Liang, Chao - In: International finance : the only journal bridging the … 27 (2024) 1, pp. 61-80

Persistent link: https://www.econbiz.de/10014532201

Reconstruction of Attractors for Options Implied Volatility with Using Fuzzy Clustering Method

Sylantyev, Sergiy - 2015

On the bases of dynamic system theory and fuzzy clustering methods for attractors of options implied volatility on … market indexes S&P 500, NASDAQ 100, S&P 100 was researched. Results of researches stay that entropy of implied volatility … fuzzy clustering equal from 0.6477 to 0.7986. Implied volatility attractor structure for market indexes are presented with …

Persistent link: https://www.econbiz.de/10013026892

Regular variation and extremal dependence of GARCH residuals with application to market risk measures

Laurini, Fabrizio; Tawn, Jonathan A. - In: Econometric reviews 28 (2009) 1/3, pp. 146-169

Persistent link: https://www.econbiz.de/10003800712

Improving many volatility forecasts using cross-dectional volatility clusters

Coretto, Pietro; Rocca, Michele la; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 4/64, pp. 1-23

The inhomogeneity of the cross-sectional distribution of realized assets’ volatility is explored and used to build a …-sectional distribution of realized volatility is captured by a finite Gaussian mixture model plus a uniform component that represents … abnormal variations in volatility. Based on the cross-sectional mixture model, at each time point, memberships of assets to …

Persistent link: https://www.econbiz.de/10012302505

A novel cluster HAR-type model for forecasting realized volatility

Yao, Xingzhi; Izzeldin, Marwan; Li, Zhenxiong - In: International journal of forecasting 35 (2019) 4, pp. 1318-1331

Persistent link: https://www.econbiz.de/10012305326

Modeling the Nigerian inflation rates using periodogram and Fourier Series Analysis

Omekara, Chukwuemeka O.; Ekpenyong, Emmanuel J.; … - In: CBN journal of applied statistics 4 (2013) 2, pp. 51-68

This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation … obtained from the Central Bank of Nigeria (CBN) website. Periodogram and Fourier series methods of analysis are used to analyze …

Persistent link: https://www.econbiz.de/10011474361

Did Harvard barometers allow for the prediction of the 1929 Stock market crash?

Romana, Ignacio Escañuela - In: Journal of economics and political economy : JEPE 5 (2018) 1, pp. 105-120

Persistent link: https://www.econbiz.de/10011880248

Measuring the accuracy of population projections : an application of exploratory data analysis

Pflaumer, Peter - 1993

The accuracy of U.N. population projections is examined. The goal is to measure the amount of uncertainty associated with past projections of the United Nations in order to provide a reaiistic measure of the uncertainty in the projection that the U.N. makes in the future. Various descriptive...

Persistent link: https://www.econbiz.de/10009743275