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Uncovering nonlinear dynamics in air transport demand

Inglada-Pérez, Lucìa - In: International journal of transport economics 43 (2016) 1/2, pp. 33-65

Persistent link: https://www.econbiz.de/10011559425

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

True or spurious long memory in European non-EMU currencies

Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230

Persistent link: https://www.econbiz.de/10011912762

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

Modelling volatility dynamics of cryptocurrencies using GARCH models

Ngunyi, Anthony; Mundia, Simon; Omari, Cyprian Ondieki - In: Journal of mathematical finance 9 (2019) 4, pp. 591-615

Persistent link: https://www.econbiz.de/10012433128

Backtesting the evaluation of Value-at-Risk methods for exchange rates

Mrkvička, Tomáš; Krásnická, Martina; Friebel, Ludvík - In: Studies in economics and finance 40 (2023) 1, pp. 175-191

Persistent link: https://www.econbiz.de/10013503890

Testing for nonlinearity and chaos in economic time series with noise titration

Caraiani, Petre - In: Economics letters 120 (2013) 2, pp. 192-194

Persistent link: https://www.econbiz.de/10010127780

Investigating the nature of nonlinearity in Indian Exchange Traded Funds (ETFs)

Madhavan, Vinodh - In: Managerial finance 40 (2014) 4, pp. 395-415

Persistent link: https://www.econbiz.de/10010344093

Nonlinear Dynamics in Conditional Volatility

Lorenz, Friedrich - 2020

Investors pay a substantial premium to hedge against fluctuations in volatility—the variance risk premium (VRP). The asset-pricing literature has presented numerous models with jumps in economic fundamentals to reproduce the properties and the time variation of the VRP. This paper shows that...

Persistent link: https://www.econbiz.de/10012837073

Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model

Orlando, Giuseppe; Bufalo, Michele - In: Finance research letters 47 (2022) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10013455602