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Value at risk forecasting for volatility index

Park, Seul-Ki; Choi, Ji-Eun; Shin, Dong-wan - In: Applied economics letters 24 (2017) 21, pp. 1613-1620

Persistent link: https://www.econbiz.de/10011853568

Finansinio kintamumo modeliavimas apibendrintuoju Gegenbauer-LARCH modeliu

Osipavičiūtė, Aušra - 2009

Darbe siekiama aprašyti periodinį ilgos atminties finansinių laiko eilučių elgesį. Remiantis anksčiau sukurtais modeliais, siūlomas h-faktorių Gegenbauer-LARCH modelis, kuris į LARCH tipo proceso sąlyginės dispersijos lygtį įtraukia apibendrintą ilgos atminties filtrą, paremtą...

Persistent link: https://www.econbiz.de/10009479239

Direct versus iterated multiperiod Value-at-Risk forecasts

Ruiz, Esther; Nieto, María Rosa - In: Journal of economic surveys 37 (2023) 3, pp. 915-949

Persistent link: https://www.econbiz.de/10014337985

Inflation and stock returns, [part] II

Azar, Samih Antoine - In: International journal of economics and finance 6 (2014) 1, pp. 208-216

Persistent link: https://www.econbiz.de/10010237306

On the origins of conditional heteroscedasticity in time series

Ashley, Richard A. - In: The Korean economic review 28 (2012) 1, pp. 5-25

Persistent link: https://www.econbiz.de/10010192152

Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)

Madhavan, Vinodh - In: Managerial finance 40 (2014) 4, pp. 395-415

Persistent link: https://www.econbiz.de/10010344093

Weighted composite quantile regression estimation of DTARCH models

Jiang, Jiancheng; Jiang, Xuejun; Song, Xinyuan - In: The econometrics journal 17 (2014) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10010498763

Understanding the dynamics of inflation volatility in Nigeria : a GARCH perspective

Omotosho, Babatunde S.; Doguwa, Sani I. - In: CBN journal of applied statistics 3 (2012) 2, pp. 51-74

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for achieving and maintaining price stability. This paper employs three models from the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family with a view to providing a...

Persistent link: https://www.econbiz.de/10011476231

The ZD-GARCH model : a new way to study heteroscedasticity

Li, Dong; Zhang, Xingfa; Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 202 (2018) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10011974547

The Nordic/Baltic spot electric power system price : univariate nonlinear impulse-response analysis

Solibakke, Per Bjarte - In: The journal of energy markets 11 (2018) 1, pp. 35-75

Persistent link: https://www.econbiz.de/10011999481