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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
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - 1999
Persistent link: https://www.econbiz.de/10001399838
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - In: Economics letters 83 (2004) 1, pp. 99-105
Persistent link: https://www.econbiz.de/10001968237
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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
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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
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Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639
Persistent link: https://www.econbiz.de/10009700616
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Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
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The US dollar/euro exchange rate : structural modeling and forecasting during the recent financial crises
Morana, Claudio - In: Journal of forecasting 36 (2017) 8, pp. 919-935
Persistent link: https://www.econbiz.de/10011860924
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Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
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Improving volatility forecasts : evidence from range-based models
Fałdziński, Marcin; Fiszeder, Piotr; Molnár, Peter - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10014445632