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Improving GARCH volatility forecasts with regime-switching GARCH

Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394

Persistent link: https://www.econbiz.de/10001655657

Predicting regime switching in BRICS currency volatility : a Markov switching autoregressive approach

Das, Suman; Roy, Saikat Sinha - In: Decision : official journal of Indian Institute of … 48 (2021) 2, pp. 165-180

Persistent link: https://www.econbiz.de/10012622217

Conditional value-at-risk forecasts of an optimal foreign currency portfolio

Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861

Persistent link: https://www.econbiz.de/10012792873

Improving GARCH volatility forecasts with regime-switching GARCH

Klaassen, Franc - In: Empirical economics : a journal of the Institute for … 27 (2002) 2, pp. 363-394

Persistent link: https://www.econbiz.de/10001655658

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value …

Persistent link: https://www.econbiz.de/10013474092

Stock volatility, foreign exchange rate volatility and the global financial crisis

Chang, Kook-hyun; Cho, Kyung Yup; Hong, Min-goo - In: Journal of economic research 15 (2010) 3, pp. 249-272

Persistent link: https://www.econbiz.de/10008778134

Dynamic asymmetric effect of currency risk pricing of exchange rate on equity markets : a regime-switching based C-Vine copulas method

Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-30

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

Persistent link: https://www.econbiz.de/10013368440

Impact of exchange rate on uncertainty in stock market : evidence from Markov regime-switching GARCH family models

Zolfaghari, Mehdi; Hoseinzade, Saeid - In: Cogent economics & finance 8 (2020) 1, pp. 1-49

model the IIR volatility. We find evidence of regime-switching behaviour in Iran's stock market. After removing the …

Persistent link: https://www.econbiz.de/10013179535

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

Persistent link: https://www.econbiz.de/10011736615

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112