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Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling

Borovkova, Svetlana - 2012

allowing the conditional variance of a particular market to depend on past volatility shocks in other markets. The inter …. Extending the model to incorporate leverage effects leads to further improvement in the volatility fit. We compare weight …

Persistent link: https://www.econbiz.de/10013097898

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Extended residual coherence with a financial application

Zhang, Xuze; Kedem, Benjamin - In: Statistics in transition : an international journal of … 22 (2021) 2, pp. 1-14

ﬁnancial market application shows that new insights can be gained regarding implied market volatility. …

Persistent link: https://www.econbiz.de/10012582392

The role of uncertainty in forecasting volatility comovements across stock markets

Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - In: Economic modelling 125 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463541

Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127

Persistent link: https://www.econbiz.de/10011691233

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the …

Persistent link: https://www.econbiz.de/10011854876

A simple model for now-casting volatility series

Breitung, Jörg; Hafner, Christian M. - 2015

Persistent link: https://www.econbiz.de/10011581871

Exchange options and spread options with stochastically correlated underlyings

Wang, Xingchun - In: Applied economics letters 29 (2022) 12, pp. 1060-1068

Persistent link: https://www.econbiz.de/10013412038

A note on the Wang transform for stochastic volatility pricing models

Badescu, Alexandru; Cui, Zhenyu; Ortega, Juan-Pablo - In: Finance research letters 19 (2016), pp. 189-196

Persistent link: https://www.econbiz.de/10011657622

Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation

Alanya, Willy; Rodriguez, Gabriel - In: Journal of emerging market finance 17 (2018) 3, pp. 354-385

Persistent link: https://www.econbiz.de/10011964842