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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter

Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973

Persistent link: https://www.econbiz.de/10011860929

l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes

Neto, David; Sardy, Sylvain; Tseng, Paul - 2009

Persistent link: https://www.econbiz.de/10003926975

Forecasting volatility by using wavelet transform, ARIMA and GARCH models

Rubio, Lihki; Palacio Pinedo, Adriana; Mejía Castaño, … - In: Eurasian economic review : a journal in applied … 13 (2023) 3/4, pp. 803-830

Persistent link: https://www.econbiz.de/10014452054

Improved beta modeling and forecasting : an unobserved component approach with conditional heteroscedastic disturbances

Ortas, E.; Salvador, Manuel; Moneva, J. M. - In: The North American journal of economics and finance : a … 31 (2015), pp. 27-51

Persistent link: https://www.econbiz.de/10011511029

New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model

Settar, Abdeljalil; Fatmi, Nadia Idrissi; Badaoui, Mohammed - In: Central European journal of economic modelling and … 13 (2021) 1, pp. 55-74

Persistent link: https://www.econbiz.de/10012439109

Analysis of the unemployment gender gap in Colombia 2001-2021 : a SARIMA-GARCH model approach

Mantilla Romero, Carolina; Cárdenas, Greissly; Ramoni … - In: Cuadernos de administración : quarterly publication of … 38 (2022) 74, pp. 1-13

Persistent link: https://www.econbiz.de/10014265888

FORECASTING INTEREST RATES - A COMPARATIVE ASSESSMENT OF SOME SECOND GENERATION NON-LINEAR MODELS

Nachane, Dilip M.; Clavel, Jose G. - East Asian Bureau of Economic Research (EABER) - 2005

--vis three GARCH models (GARCH (1,1), GARCH-M (1,1) and EGARCH (1,1)) as well as the random walk model. The Kalman filter model …

Persistent link: https://www.econbiz.de/10009365437

Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances

Ortas, E.; Salvador, M.; Moneva, J.M. - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 27-51

Recent research on time-varying systematic-risk (beta) modeling reveals significant advantages in utilizing daily financial data and unobserved-component models. This research proposes a state-space market model with conditional heteroscedastic errors, thus addressing the leptokurtosis of the...

Persistent link: https://www.econbiz.de/10011191065

Timeâ€Varying Beta Risk of Australian Industry Portfolios: A Comparison of Modelling Techniques

Brooks, Robert D.; Faff, Robert W.; McKenzie, Michael D. - In: Australian Journal of Management 23 (1998) 1, pp. 1-22

This paper investigates three techniques for the estimation of conditional timeâ€dependent betas: (a) a multivariate generalised ARCH approach; (b) a timeâ€varying beta market model approach suggested by Schwert and Seguin (1990); and (c) the Kalman filter technique. These approaches are...

Persistent link: https://www.econbiz.de/10011135755

The effects of different inflation risk premiums on interest rate spreads

Berument, Hakan; Kilinc, Zubeyir; Ozlale, Umit - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 317-324

—are defined and derived by using a time-varying parameter model with a GARCH specification. It is found that both the structural …

Persistent link: https://www.econbiz.de/10011058271

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