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Stock market volatility: Identifying major drivers and the nature of their impact
Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14
Persistent link: https://www.econbiz.de/10011543844
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Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models
Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100
Persistent link: https://www.econbiz.de/10012051118
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A correcting note on forecasting conditional variance using ARIMA vs. GARCH model
Azimi, Mohammad Naim; Shahidzada, Seyed Farhad - In: International journal of economics and finance 11 (2019) 5, pp. 145-152
Persistent link: https://www.econbiz.de/10012012282
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Empirical safety stock estimation based on kernel and GARCH models
Trapero, Juan R.; Cardós, Manuel; Kourentzes, Nikolaos - In: Omega : the international journal of management science 84 (2018), pp. 199-211
Persistent link: https://www.econbiz.de/10011993170
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Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
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Predicting the volatility of the Russell 3000 stock index
Xiao, Bing - In: International journal of financial research 7 (2016) 4, pp. 18-28
Persistent link: https://www.econbiz.de/10011578780
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GARCH, implied volatilities and implied distributions : an evaluation for forecasting purposes
Aguilar, Javiera - 1999
historical by nature such as different GARCH models. I find that implied volatility has predictive power in forecasting future … currencies GARCH volatility forecasts outperform implied volatility. …
Persistent link: https://www.econbiz.de/10011584558
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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Modeling carbon spot and futures price returns with GARCH and Markov switching GARCH models : evidence from the first commitment period (2008-2012)
Zeitlberger, Alexander C. M.; Brauneis, Alexander - In: Central European journal of operations research : CEJOR … 24 (2016) 1, pp. 149-176
Persistent link: https://www.econbiz.de/10011665786
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L1-regularization of high-dimensional time-series models with flexible innovations
Medeiros, Marcelo C.; Mendes, Eduardo F. - 2015
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially or geometrically). In other...
Persistent link: https://www.econbiz.de/10010505038