Similar Search Results

Measuring macroeconomic uncertainty : an application for Iran

Heybati, Reza - In: Iranian economic review : journal of University of Tehran 25 (2021) 3, pp. 477-498

Persistent link: https://www.econbiz.de/10012664177

Modelling prices and volatilities in the sharing economy

Pérez Rodríguez, Jorge V.; Hernández, Juan M.; … - In: Tourism economics : the business and finance of tourism … 30 (2024) 5, pp. 1189-1215

Persistent link: https://www.econbiz.de/10015056859

Forecasting volatility and value-at-risk for cryptocurrency using GARCH-type models : the role of the probability distribution

Chen, Qihao; Huang, Zhuo; Liang, Fang - In: Applied economics letters 31 (2024) 18, pp. 1907-1914

Persistent link: https://www.econbiz.de/10015084570

Estimating and forecasting volatility of financial markets using asymmetric GARCH models : an application on Turkish financial markets

Gökbulut, Rasim lker; Pekkaya, Mehmet - In: International journal of economics and finance 6 (2014) 4, pp. 23-35

Persistent link: https://www.econbiz.de/10010347758

Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction

Amendola, Alessandra; Storti, Giuseppe - In: Journal of forecasting 34 (2015) 2, pp. 83-91

Persistent link: https://www.econbiz.de/10011305317

How candlestick features affect the performance of volatility forecasts : evidence from the stock market

Su, Jung-Bin - In: The European journal of finance 21 (2015) 4/6, pp. 486-506

Persistent link: https://www.econbiz.de/10010528953

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717

Estimating and forecasting conditional risk measures with extreme value theory : a review

Bee, Marco; Trapin, Luca - In: Risks : open access journal 6 (2018) 2, pp. 1-16

financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks …

Persistent link: https://www.econbiz.de/10011866456

Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

Persistent link: https://www.econbiz.de/10010461231