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  • Search: subject_exact:"ARCH-Modell"
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Year of publication
Subject
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ARCH-Modell 9,972 ARCH model 9,769 Volatilität 5,925 Volatility 5,858 Schätzung 2,788 Estimation 2,736 Theorie 2,569 Theory 2,492 Kapitaleinkommen 2,107 Capital income 2,098 Börsenkurs 2,068 Share price 2,035 Aktienmarkt 1,843 Stock market 1,830 Zeitreihenanalyse 1,753 Time series analysis 1,714 Prognoseverfahren 1,587 Forecasting model 1,559 Schätztheorie 1,035 Estimation theory 1,026 Risikomaß 948 Spillover-Effekt 946 Risk measure 943 Spillover effect 941 USA 934 GARCH 907 Wechselkurs 905 United States 897 Exchange rate 891 Welt 773 Korrelation 766 World 765 Correlation 758 Ölpreis 640 Oil price 637 Portfolio-Management 618 Portfolio selection 615 Aktienindex 587 Stock index 573 Finanzmarkt 540
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Online availability
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Free 3,278 Undetermined 2,608
Type of publication
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Article 6,535 Book / Working Paper 3,454
Type of publication (narrower categories)
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Article in journal 6,275 Aufsatz in Zeitschrift 6,275 Working Paper 1,830 Graue Literatur 1,661 Non-commercial literature 1,661 Arbeitspapier 1,640 Aufsatz im Buch 245 Book section 245 Hochschulschrift 134 Thesis 104 Conference paper 38 Konferenzbeitrag 38 Collection of articles written by one author 36 Sammlung 36 Collection of articles of several authors 26 Sammelwerk 26 Aufsatzsammlung 14 Bibliografie enthalten 12 Bibliography included 12 Systematic review 11 Übersichtsarbeit 11 Case study 8 Fallstudie 8 Konferenzschrift 7 Lehrbuch 7 Textbook 7 Article 6 Dissertation u.a. Prüfungsschriften 6 Forschungsbericht 6 Amtsdruckschrift 3 Conference proceedings 3 Government document 3 Rezension 3 Doctoral Thesis 2 Mehrbändiges Werk 2 Multi-volume publication 2 Accompanied by computer file 1 Bibliografie 1 Biografie 1 Biography 1
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Language
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English 9,881 German 54 Spanish 23 French 13 Polish 6 Portuguese 4 Czech 2 Undetermined 2 Bulgarian 1 Hungarian 1 Italian 1 Romanian 1 Swedish 1 Turkish 1 Chinese 1
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Author
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McAleer, Michael 214 Chang, Chia-Lin 83 Hafner, Christian M. 62 Teräsvirta, Timo 62 Bauwens, Luc 60 Engle, Robert F. 60 Gupta, Rangan 59 Caporale, Guglielmo Maria 57 Ma, Feng 54 Caporin, Massimiliano 52 Conrad, Christian 50 Karanasos, Menelaos 49 Herwartz, Helmut 41 Francq, Christian 40 Laurent, Sébastien 40 Rombouts, Jeroen V. K. 39 Zakoïan, Jean-Michel 37 Paolella, Marc S. 36 Asai, Manabu 34 Bollerslev, Tim 33 Saikkonen, Pentti 33 Ardia, David 32 Kumar, Dilip 32 Mittnik, Stefan 31 McMillan, David G. 30 Rahbek, Anders 30 Serletis, Apostolos 30 Linton, Oliver 29 Silvennoinen, Annastiina 29 Bouri, Elie 28 Christoffersen, Peter F. 28 Allen, David E. 27 Koopman, Siem Jan 27 Hansen, Peter Reinhard 26 Kang, Sang Hoon 26 Meitz, Mika 26 Tiwari, Aviral Kumar 26 Degiannakis, Stavros 25 Zhang, Yaojie 25 Diebold, Francis X. 24
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Institution
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National Bureau of Economic Research 21 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 17 Ekonomiska forskningsinstitutet <Stockholm> 15 Centre for Analytical Finance <Århus> 10 University of Canterbury / Dept. of Economics and Finance 8 Econometrisch Instituut <Rotterdam> 7 Instituto Valenciano de Investigaciones Económicas 6 Shakai-Keizai-Kenkyūsho <Osaka> 6 European University Institute / Department of Economics 3 National Institute of Economic and Social Research 3 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 3 Brown University / Department of Economics 2 Center for Economic Research <Tilburg> 2 Escola de Pós-Graduação em Economia <Rio de Janeiro> 2 Federal Reserve Bank of St. Louis 2 Gottfried Wilhelm Leibniz Universität Hannover 2 London School of Economics and Political Science 2 Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia 2 Queen Mary College / Department of Economics 2 School of Finance and Business Economics <Perth, Western Australia> 2 Springer Fachmedien Wiesbaden 2 Svenska Handelshögskolan <Helsinki> 2 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 2 Université de Montréal / Département de sciences économiques 2 William Davidson Institute <Ann Arbor, Mich.> 2 Banca nazionale del lavoro / Ufficio scenari economici 1 Banca nazionale del lavoro / Ufficio studi 1 Bank of Canada 1 Canada / Mines Branch (1950- ) 1 Centre for Quantitative Economics & Computing 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 1 Deakin University 1 Deutschland / Bundesministerium für Wirtschaft 1 Deutschland <Bundesrepublik> / Auswärtiges Amt 1 Deutschland <Bundesrepublik> / Bundesminister der Finanzen 1 Deutschland <Bundesrepublik> / Bundesminister für den Marshallplan 1 Erasmus Research Institute of Management 1 Fachhochschule Stralsund / Fachbereich Wirtschaft 1 Federal Reserve Bank of San Francisco 1
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Published in...
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Energy economics 235 Applied economics 157 Economic modelling 148 Journal of econometrics 143 Finance research letters 133 Journal of empirical finance 123 Research in international business and finance 119 The North American journal of economics and finance : a journal of financial economics studies 116 International review of financial analysis 114 Journal of banking & finance 110 Economics letters 109 Applied financial economics 101 International review of economics & finance : IREF 101 Journal of international financial markets, institutions & money 98 Discussion paper / Tinbergen Institute 97 Journal of risk and financial management : JRFM 88 International journal of forecasting 81 Journal of forecasting 78 Applied economics letters 75 Econometric theory 73 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 72 Econometric Institute research papers 69 The European journal of finance 69 The journal of futures markets 67 Journal of financial econometrics : official journal of the Society for Financial Econometrics 65 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 60 Working paper 60 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 56 International Journal of Energy Economics and Policy : IJEEP 53 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 50 International journal of economics and financial issues : IJEFI 49 Econometric reviews 46 Journal of international money and finance 46 International journal of economics and finance 45 CREATES research paper 43 Review of quantitative finance and accounting 43 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 42 International journal of finance & economics : IJFE 42 Journal of risk 39 The econometrics journal 39
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Source
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ECONIS (ZBW) 9,775 EconStor 199 USB Cologne (EcoSocSci) 9 OLC EcoSci 4 ArchiDok 2
Showing 1 - 50 of 9,989
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Return volatility, correlation, and hedging of green and brown stocks : is there a role for climate risk factors?
Li, Haohua; Bouri, Elie; Gupta, Rangan; Fang, Libing - 2023
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Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
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The rapid rise of Russia's wheat exports : price formation, spot-futures relations and volatility effects
Heigermoser, Maximilian - Leibniz-Institut für Agrarentwicklung in … - 2023
Over the past two decades, the Black Sea region has exhibited significantly growing wheat production and exports. In 2017/18, Russia ultimately became the world’s largest wheat exporter, a position that was held by the USA for decades. Mostly serving destination markets in the Middle East and...
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Co-movement of Indonesian state-owned enterprise stocks
Atahau, Apriani Dorkas Rambu; Robiyanto, Robiyanto; … - In: Economies : open access journal 11 (2023) 2, pp. 1-24
According to portfolio theory, diversifying investment to several stocks with negative correlations may reduce portfolio risk. In contrast, combining stocks with similar movement (co-movement) has no impact on portfolio risk reduction. This study aims to examine state-owned enterprise stock...
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Range-Based EGARCH Option Pricing Models
Kinlay, J - 2023
The research in this paper is focused on the innovative range-based volatility models introduced in Alizadeh, Brandt, and Diebold (2002) (hereafter ABD). We develop new option pricing models using multi-factor diffusion approximations couched within this theoretical framework and examine their...
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Model the Volatility for Some Selected Beverages Stock Returns in Nigeria (2012-2021) : A GARCH Model Approach
Mohammed, Tanimu; Yahaya, Haruna Umar; Adams, Samuel … - 2023
The volatility of equity returns for two beverages traded on the Nigerian stock exchange is the subject of this study. The ARCH effect test demonstrated that the two beverages disprove the claim that there is no ARCH effect. According to the preliminary analysis, both beverages were volatile....
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Volatility Forecasting in Emerging Markets
Kinlay, J - 2023
The great majority of empirical studies have focused on asset markets in the US and other developed economies. The purpose of this research is to determine to what extent the findings of other researchers in relation to the characteristics of asset volatility in developed economies applies also...
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Sequential Change-Point Detection in Time Series Models with Conditional Heteroscedasticity
Lee, Youngmi; Kim, Sungdon; Oh, Haejune - 2023
In this study, we investigate a sequential procedure for the early detection of parameter changes in conditionally heteroscedastic time series models. We introduce the detectors based on the cumulative sum of score vectors and residuals for this procedure. The asymptotic properties of the...
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Improved inference in financial factor models
Beck, Elliot; De Nard, Gianluca; Wolf, Michael - 2023
Conditional heteroskedasticity of the error terms is a common occurrence in financial factor models, such as the CAPM and Fama-French factor models. This feature necessitates the use of heteroskedasticity consistent (HC) standard errors to make valid inference for regression coefficients. In...
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Dependent metaverse risk forecasts with heteroskedastic models and ensemble learning
Syuhada, Kreshna; Tjahjono, Venansius; Hakim, Arief - In: Risks : open access journal 11 (2023) 2, pp. 1-25
Metaverses have been evolving following the popularity of blockchain technology. They build their own cryptocurrencies for transactions inside their platforms. These new cryptocurrencies are, however, still highly speculative, volatile, and risky, motivating us to manage their risk. In this...
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Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief; Syuhada, Khreshna - In: Risks : open access journal 11 (2023) 2, pp. 1-45
Evidence that cryptocurrencies exhibit speculative bubble behavior is well documented. This evidence could trigger global financial instability leading to systemic risk. It is therefore crucial to quantify systemic risk and investigate its transmission mechanism across crypto markets and other...
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How does oil price uncertainty affect output in the Central and Eastern European economies? : the Bayesian-based approaches
Živkov, Dejan; Đurašković, Jasmina - In: Applied economic analysis : AEA 31 (2023) 91, pp. 39-54
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Post-Brexit exchange rate volatility and its impact on UK exports to Eurozone countries : a bounds testing approach
Naimy, Viviane; El Khoury, Rim; Montero, José-María; … - In: Oeconomia Copernicana 14 (2023) 1, pp. 135-168
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Embeddedness of Hungarian pig prices in the European pork market : a volatility spillover and partial wavelet coherence study
Szabó, Zsolt; Szenderák, János; Szili, Viktor; Egri, Edit - In: Studies in agricultural economics 125 (2023) 1, pp. 13-25
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Reaction of the USD/PLN currency pair exchange rate to the published macroeconomic data
Pasionek, Jolanta - In: Financial internet quarterly 19 (2023) 1, pp. 1-7
The results of the research presented in the article regard the importance of publication of macroeconomic data from the United States for the short-term USD/PLN currency pair exchange rate volatility. The main purpose of the research was to indicate what macroeconomic data is important for the...
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Symmetric and asymmetric volatility : forecasting the Borsa Istanbul 100 index return volatility
Öner, Selma; Öner, Hakan - In: Financial internet quarterly 19 (2023) 1, pp. 48-56
The development of technology and the globalization of financial markets have increased the volatility in financial markets and caused the emergence of risks and uncertainties that have not been previously encountered. Since traditional econometric models cannot fully explain this vol- atility,...
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Forecasting volatility in oil returns using asymmetric GARCH models : evidence from Tanzania
Letema, Laban Gaspe; Mbwambo, Haika Andrew - In: International Journal of Research in Business and … 12 (2023) 1, pp. 204-211
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The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach
Dwarika, Nitesha - In: Quantitative finance and economics 7 (2023) 1, pp. 119-146
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Forecasting agricultural price volatility of some export crops in Egypt using ARIMA/GARCH model
Agbo, Hanan Mahmoud Sayed - In: Review of economics and political science : REPS 8 (2023) 2, pp. 123-133
Purpose: This study focuses on forecasting the price of the most important export crops of vegetables and fruits in Egypt from 2016 to 2030. Design/methodology/approach: The study applied generalized autoregressive conditional heteroskedasticity (GARCH) model and autoregressive integrated moving...
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Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427
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Commonality in BRICS Stock Markets’ Reaction to Global Economic Policy Uncertainty : Evidence from a Panel GARCH Model with Cross Sectional Dependence
Suleiman, Mamman; Wang, Zhanqin; Iliyasu, Jamilu - 2023
The rapid growth of BRICS has increasingly integrated their markets into the global economy. Thus, making their financial markets more vulnerable to external shocks such as global economic policy uncertainties. In this light, this study examines BRICS stock markets’ response to global economic...
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Dynamic Risk Spillovers from Oil to Stock Markets : Fresh Evidence from GARCH Copula Quantile Regression-Based CoVar Model
Tian, Maoxi; M. Alshater, Muneer; Yoon, Seong-Min - 2023
This study proposes a GARCH copula quantile regression model to capture the downside and upside tail dependence between oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the nonlinearity of the tail dependence with the marginal...
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Stock Market Forecasting Accuracy of Asymmetric GARCH Models During the COVID-19 Pandemic
Caiado, Jorge; Lúcio, Francisco - 2023
We propose a new clustering approach for comparing financial time series and employ it to study how the COVID-19 pandemic affected the U.S. stock market. Essentially, we compute the forecast accuracy of asymmetric GARCH models applied to S&P500 industries and use the model forecast errors for...
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Asymmetric Dynamic Correlations and Portfolio Management between Bitcoin and Stablecoins
Chen, Kuo-Shing; Yang, J. Jimmy - 2023
In this study, we document interesting properties of cryptoassets and empirically investigate the dynamic correlations between six major stablecoins and Bitcoin. It is evident that volatilities of Bitcoin and stablecoin returns exhibit asymmetric responses to good and bad news. We evaluate...
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On the risk spillover from Bitcoin to Altcoins : the fear of missing out and pump-and-dump scheme effects
Balcilar, Mehmet; Ozdemir, Huseyin - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-15
This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the disaggregate level. We apply a frequency connectedness approach to the daily data of 11 major cryptocurrencies for the period from 1 September 2017 to 2 March 2022. We try to...
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The impact of the COVID-19 pandemic on the volatility of cryptocurrencies
Karagiannopoulou, Sofia; Ragazou, Konstantina; Passas, … - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17
This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period of the COVID-19 pandemic. While...
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Modelling stock market prices using the open, high and closes prices : evidence from international financial markets
Enow, Samuel Tabot - In: International journal of business and economic sciences … 15 (2022) 3, pp. 52-59
Purpose: Modelling security prices seem to be an ending debate in finance literature due to no clear consensus on behavioral patterns, Knowledge of stock price movement has always been an important source of information that is much needed in asset pricing and trading strategies, The aim of this...
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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
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Forecasting the Risk of Cryptocurrencies : Comparison and Combination of GARCH and Stochastic Volatility Models
Prüser, Jan - 2023
We provide a comparison of several GARCH and stochastic volatility models for forecasting the risk of cryptocurrencies. It turns out that the widely used GARCH(1,1) does not provide accurate risk predictions. In contrast, adding t-distributed innovations or allowing for regime changes improves...
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Dynamic Conditional Correlation GARCH : A Multivariate Time Series Novel Using a Bayesian Approach
Nascimento, Diego; Xavier, Cleber; Felipe, Israel José … - 2023
The Dynamic Conditional Correlation GARCH (DCC-GARCH) mutation model is considered using a Monte Carlo approach via Markov chains in the estimation of parameters, time-dependence variation is visually demonstrated. Fifteen indices were analyzed from the main financial markets of developed and...
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Modeling and Forecasting Cryptocurrency Returns and Volatility : An Application of GARCH Models
Yahaya, Haruna Umar; Oyinloye, John Sunday; Adams, … - 2023
The future of e-money is crypocurrencies, it is the decentralize digital and virtual currency that is secured by cryptography. It has become increasingly popular in recent years attracting the attention of the individual, investor, media, academia and governments worldwide. This study aims to...
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Forecasting Intraday Volatility : Evidence from China Gold Futures Market
Ye, Chuxin; Luo, Xingguo; Xue, Yinsong; Lv, Jiamin - 2023
This study investigates the intraday realized volatility (RV) forecasting of gold futures in China. To predict the RV in the last half an hour before the day trading close (LH), we decompose the whole trading period into several intervals. RVs in day trading intervals can predict the RV in LH,...
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Extreme dependencies and spillovers between gold and stock markets : evidence from MENA countries
Mensi, Walid; Maitra, Debasish; Selmi, Refk; Xuan Vinh Vo - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27
This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North Africa (MENA) region and (ii) using the...
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A new hybrid method with data-characteristic-driven analysis for artificial intelligence and robotics index return forecasting
Zhang, Yue-jun; Zhang, Han; Gupta, Rangan - In: Financial innovation : FIN 9 (2023) 1, pp. 1-23
Forecasting returns for the Artificial Intelligence and Robotics Index is of great significance for financial market stability, and the development of the artificial intelligence industry. To provide investors with a more reliable reference in terms of artificial intelligence index investment,...
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Modelling and forecasting volatility in international financial markets
Enow, Samuel Tabot - In: International Journal of Research in Business and … 12 (2023) 2, pp. 197-203
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Investigating volatility transmission across international equity markets using multivariate fractional models
Saâdaoui, Foued; Ghadhab, Imen - In: International transactions in operational research : a … 30 (2023) 5, pp. 2139-2157
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Modelling the Realized Volatility of Crude Oil Futures Market : A Regime Switching-Har with Measurement Errors Approach
li, Li; Cao, Peiwen; Zhang, Xinxin - 2023
Measurement errors and structural breaks are important factors affecting the forecasting accurancy of volatility in the oil futures market. To capture these key points in one uniform forecasting model, we propose the MRS-HARQ-type model by simultaneously introducing the modification of...
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A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index
Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023
Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when analysing market consensus and risk strategies. The purpose of this study is to evaluate the ability of symmetric and asymmetric GARCH systems to model the volatility of the FTSE 100...
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Forecasting the Price of Gold Using a Systematic GARCH Analysis with Exchange Rate Volatility
Nyantakyi, Kwadwo; Kudzawu-D’Pherdd, Raymond - 2023
Gold has also been a store of value and hedge against economic shocks for citizens and even nations for centuries. This paper explores the unpredictable nature of exchange rate volatility and if any relationship or influence exists, on the price of gold on the world market. Using GARCH models we...
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Forecasting Value-at-Risk Using Functional Volatility Incorporating an Exogenous Effect
Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - 2023
This paper proposes a novel extension of log and exponential GARCH models, where time-varying parameters are approximated by orthogonal polynomial systems. These expansions enable us to add and study the effects of market-wide and external international shocks on the volatility forecasts and...
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Realized BEKK-CAW models
Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77
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The Importance of Correct Model Specification : A Regime Switching GARCH MIDAS Approach with Application to Oil Volatility
Cheng, Jie; Tirkishova, Menli - 2023
Events such as pandemic, changes in government policies and wars result in structural breaks in many areas including oil markets. RS GARCH MIDAS models, which consider both structural changes and macroeconomic factors affecting the oil prices have been studied by very few authors where they...
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Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets
Mensi, Walid; Gubareva, Mariya; Ko, Hee-Un; Xuan Vinh Vo; … - In: Financial innovation : FIN 9 (2023) 1, pp. 1-27
This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...
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Intraday Value at Risk Estimation with Multivariate Intensity Models : An Application to Cryptocurrencies
Patino, Mariana; Peter, Franziska J. - 2023
We implement multivariate, self-exciting Peaks-over-Threshold (POT) methods to measure extremal losses in high-frequency return series of cryptocurrencies. For that purpose, we implement trivariate Hawkes-POT and the autoregressive conditional intensity ACI-POT models for Bitcoin, Ethereum, and...
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The Economic Value of Equity Implied Volatility Forecasting with Machine Learning
Zhao, Yanhui; Borochin, Paul - 2023
We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these...
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Challenges for the Volatility Forecasts of the US Fossil Energy Spot Markets Under the COVID-19 Crisis
Li, Zepei; Huang, Haizhen - 2023
The outbreak of the Covid-19 pandemic has led to a slowdown in the world’s energy trade and changes in the use of energy resources. Meanwhile, global conditions are confused and can affect fossil energy spot markets, including crude oil, gasoline, heating oil, and natural gas. In this paper,...
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COVID-19 pandemic & financial market volatility : evidence from GARCH models
Kayani, Umar Nawaz; Khan, Mrestyal; Mughal, Khurrum Shahzad - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20
Across the globe, COVID-19 has disrupted the financial markets, making them more volatile. Thus, this paper examines the market volatility and asymmetric behavior of Bitcoin, EUR, S&P 500 index, Gold, Crude Oil, and Sugar during the COVID-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1,...
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Do Extreme Range Estimators Improve Realized Volatility Forecasts? Evidence from G7 Stock Markets
Korkusuz, Burak; Kambouroudis, Dimos S; McMillan, David G. - 2023
We investigate whether range-based estimators contain information in forecasting realized volatility within a HAR-RV-X framework and applied to G7 stock markets. Using a rolling window approach and QLIKE, HMSE and MCS forecast criteria, overall findings suggest that while no single model...
Persistent link: https://ebtypo.dmz1.zbw/10014257261
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Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Clements, Michael P.; Galvão, Ana Beatriz C. - In: Journal of applied econometrics 38 (2023) 2, pp. 164-185
Persistent link: https://ebtypo.dmz1.zbw/10014287961
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