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Estimation of asymmetric stochastic volatility models for stock-exchange index returns

Del Carmen García Centeno, María; Minguez Salido, Román - In: International advances in economic research : IAER ; an … 15 (2009) 1, pp. 71-87

Persistent link: https://www.econbiz.de/10003813391

Modeling of stock indices with HMM-SV models

Nkemnole, E. B.; Wulu, J. T. - In: Theoretical and applied economics : GAER review 24 (2017) 2, pp. 45-60

Persistent link: https://www.econbiz.de/10011795001

An empirical analysis of a stock market index of a developing country : case of the main index of the Casablanca Stock Exchange MASI

Zaimi, Wiam - In: Global business and finance review 27 (2022) 4, pp. 1-16

Purpose: Managing stock market risk and making an optimal investment decision in a stock market requires study- ing the dynamics of this market and analyzing the fluctuations of its benchmark index in order to avoid heavy damage in the event of crises. This paper aims to study and analyze the...

Persistent link: https://www.econbiz.de/10013433500

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise : application to fractional Black-Scholes equations

Jumarie, Guy - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 271-287

Persistent link: https://www.econbiz.de/10003682232

A hidden Markov Model inference approach to testing the random walk hypothesis : empirical evidence from the Nigerian stock market

Nkemnole, Edesiri - In: Journal of economic and financial sciences 9 (2016) 3, pp. 696-713

Persistent link: https://www.econbiz.de/10011658239

Can the Heston model forecast energy generation? : a systematic literature review

Reichert, Bianca; Souza, Adriano Mendonça de - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 289-295

Persistent link: https://www.econbiz.de/10013175052

Forecasting variance using stochastic volatility and GARCH

Hansson, Björn A.; Hördahl, Peter - 1998

Persistent link: https://www.econbiz.de/10000981021

Bayesian analysis of stochastic volatility models with flexible tails

Steel, Mark F. J. - In: Econometric reviews 17 (1998) 2, pp. 109-143

Persistent link: https://www.econbiz.de/10001240681

Multivariate stochastic volatility models : estimation and a comparison with VGARCH models

Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173

Persistent link: https://www.econbiz.de/10001374884

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