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A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel - 2021
Persistent link: https://www.econbiz.de/10012604771
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A reality check on the GARCH-MIDAS volatility models
Virk, Nader; Javed, Farrukh; Awartani, Basel; Hyde, Stuart - In: The European journal of finance 30 (2024) 6, pp. 575-596
Persistent link: https://www.econbiz.de/10014547966
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Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh; Kiss, Tamás; Österholm, Pär - In: Applied economics 54 (2022) 58, pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
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The importance of the macroeconomic variables in forecasting stock return variance : a GARCH-MIDAS approach
Asgharian, Hossein; Hou, Ai Jun; Javed, Farrukh - In: Journal of forecasting 32 (2013) 7, pp. 600-612
Persistent link: https://www.econbiz.de/10010202170
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Tail behavior and dependence structure in the APARCH model
Javed, Farrukh; Podgórski, Krzysztof - In: Journal of time series econometrics 9 (2017) 2, pp. 1-48
Persistent link: https://www.econbiz.de/10011701888
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2021
Persistent link: https://www.econbiz.de/10012603081
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Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
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Oil price uncertainty and equity returns : evidence from oil importing and exporting countries in the MENA region
Maghyereh, Aktham I.; Awartani, Basel - In: Journal of financial economic policy 8 (2016) 1, pp. 64-79
Persistent link: https://www.econbiz.de/10011619459