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Intra-Day Realized Volatility for European and USA Stock Indices

Degiannakis, Stavros Antonios - 2019

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide …

Persistent link: https://www.econbiz.de/10012897936

Testing for arch in the presence of additive outliers

Dijk, Dick van; Franses, Philip Hans; Lucas, André - 1996

Persistent link: https://www.econbiz.de/10000966917

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Testing extreme dependence in financial time series

Chaudhuri, Kausik; Sen, Rituparna; Tan, Zheng - In: Economic modelling 73 (2018), pp. 378-394

Persistent link: https://www.econbiz.de/10012100537

Volatility modeling and Value-at-Risk (VaR) forecasting of emerging stock markets in the presence of long memory, asymmetry, and skewed heavy tails

Gencer, Hatice Gaye; Demiralay, Sercan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 639-657

Persistent link: https://www.econbiz.de/10011562539

A goodness-of-fit test for a class of autoregressive conditional duration models

Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141

Persistent link: https://www.econbiz.de/10011591144

Testing against changing correlation

Harvey, Andrew C.; Thiele, Stephen - 2014

Persistent link: https://www.econbiz.de/10010504846

Size distortions of the wild bootstrapped HCCME-based LM test for serial correlation in the presence of asymmetric conditional heteroskedasticity

Grobys, Klaus - In: Empirical economics : a journal of the Institute for … 48 (2015) 3, pp. 1189-1202

Persistent link: https://www.econbiz.de/10011304126

Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models

Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015

This paper applies Markov-switching multifractal (MSM) processes to model and forecast carbon dioxide (CO2) emission price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH) and the two-state Markov-switching GARCH (MS-GARCH)...

Persistent link: https://www.econbiz.de/10011296114

Adaptive long memory testing under heteroskedasticity

Harris, David; Kew, Hsein - In: Econometric theory 33 (2017) 3, pp. 755-778

Persistent link: https://www.econbiz.de/10011810197

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