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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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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
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Consistent ranking of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009
Persistent link: https://www.econbiz.de/10003850918
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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
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Exchange rate shocks and trade : a multivariate GARCH-M approach
Grier, Kevin; Smallwood, Aaron D. - In: Journal of international money and finance 37 (2013), pp. 282-305
Persistent link: https://www.econbiz.de/10010209078
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Asymmetry, fat-tail and autoregressive conditional density in daily stocks return data
Babikir, Ali; Hassan, Mohammed Elamin; Mwambi, Henry - In: Annals of economics and statistics 135 (2019), pp. 57-68
Persistent link: https://www.econbiz.de/10012306029
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Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert; Wu, Jianbin - In: Journal of econometrics 217 (2020) 2, pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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Inflation uncertainty
Serletis, Apostolos; Xu, Libo - In: Empirical economics : a quarterly journal of the … 66 (2024) 5, pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
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Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula : evidence from GAS models
Mili, Mehdi; Bouteska, Ahmed - In: The journal of risk finance : JRF 24 (2023) 4, pp. 464-482
Persistent link: https://www.econbiz.de/10014338629
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Multivariate dynamic mixed-frequency density pooling for financial forecasting
Virbickaitė, Audronė; Lopes, Hedibert Freitas; … - In: International journal of forecasting 41 (2025) 3, pp. 1184-1198
Persistent link: https://www.econbiz.de/10015441556