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GARCH Proof of Concept
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Forecasting model
Risk management
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forecasting
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Gupta, Rangan
61
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25
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21
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16
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13
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13
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10
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10
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9
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8
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Journal of empirical finance
21
International review of economics & finance : IREF
18
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18
Journal of applied econometrics
17
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15
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ECONIS (ZBW)
2,333
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
A Bayesian method of change-point estimation with recurrent regimes : application to
GARCH
models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
10
Macroeconomic
forecasting
performance under alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
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