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Estimating and forecasting the volatility of Brazilian finance series using ARCH models
Issler, João Victor - In: Revista de econometria 19 (1999) 1, pp. 5-56
Persistent link: https://www.econbiz.de/10001609692
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Measuring common cyclical features during financial turmoil
Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - 2002
Persistent link: https://www.econbiz.de/10001720545
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Forecasting Realized Volatility Measures with Multivariate and Univariate Models : The Case of the US Banking Sector
Cubadda, Gianluca - 2018
This paper compares the forecasting performances of both univariate and multivariate models for realized volatilities series. We consider realized volatility measures of the returns of 13 major banks traded in the NYSE. Since our variables are characterized by the presence of long range...
Persistent link: https://www.econbiz.de/10012908777
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On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840656
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Common intraday periodicity
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840658
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012
Persistent link: https://www.econbiz.de/10009515469
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Common intraday periodicity
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of financial econometrics : official journal of … 10 (2012) 2, pp. 235-353
Persistent link: https://www.econbiz.de/10009540539
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Measuring common cyclical features during financial turmoil : evidence of interdependence not contagion
Candelon, Bertrand; Hecq, Alain W. J.; Verschoor, … - In: Journal of international money and finance 24 (2005) 8, pp. 1317-1334
Persistent link: https://www.econbiz.de/10003229309
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A vector heterogeneous autoregressive index model for realized volatility measures
Cubadda, Gianluca; Guardabascio, Barbara; Hecq, Alain W. J. - In: International journal of forecasting 33 (2017) 2, pp. 337-344
Persistent link: https://www.econbiz.de/10011921023
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - In: Journal of time series econometrics 8 (2016) 2, pp. 91-113
Persistent link: https://www.econbiz.de/10011582755