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New volatility models under a Bayesian perspective : a case study
Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197
Persistent link: https://www.econbiz.de/10011449738
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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
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Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches
Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48
Persistent link: https://www.econbiz.de/10011868092
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Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - 2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
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Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020
Persistent link: https://www.econbiz.de/10012435636
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - 2014
Persistent link: https://www.econbiz.de/10011629426
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …
Persistent link: https://www.econbiz.de/10014252427
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How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach
Chang, Hao Wen; Chang, Tsangyao - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014247010