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~subject:"Risk measure"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
~type_genre:"Thesis"
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ECONIS (ZBW)
552
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1
The hybrid forecast of S&P 500 volatility ensembled from VIX,
GARCH
and LSTM models
Roszyk, Natalia
;
Ślepaczuk, Robert
-
2024
Persistent link: https://www.econbiz.de/10014634883
Saved in:
2
Bootstrapping
GARCH
models under dependent innovations
Beutner, Eric
;
Schaumburg, Julia
;
Spanjers, Barend
-
2024
This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for
GARCH
models under …
Persistent link: https://www.econbiz.de/10014457811
Saved in:
3
Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł
;
Ślepaczuk, Robert
;
Windorbski, …
-
2023
Persistent link: https://www.econbiz.de/10014448210
Saved in:
4
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying
GARCH
model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
5
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu
;
Matsuda, Yasumasa
-
2023
Persistent link: https://www.econbiz.de/10014310363
Saved in:
6
On the growth rate of superadditive processes and the stability of functional
GARCH
models
Kandji, Baye Matar
-
2023
Persistent link: https://www.econbiz.de/10014321021
Saved in:
7
The choice of
GARCH
models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...
Gohs, Andreas Marcus
-
2022
-at-Risk forecasts. The univariate and multivariate
GARCH
models proposed in the literature are reviewed and the suitability of selected … R functions for automated forecasting systems is discussed. With the Markov-switching
GARCH
function constructed for … case of structural breaks or outliers, the algorithm of the ordinary
GARCH
function often does not return valid parameter …
Persistent link: https://www.econbiz.de/10013474092
Saved in:
8
Deep learning for multivariate volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei
;
Matsuda, Yasumasa
-
2024
Persistent link: https://www.econbiz.de/10014526627
Saved in:
9
Climate risks and prediction of sectoral REITs volatility : international evidence
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Bouri, Elie
-
2024
Persistent link: https://www.econbiz.de/10014635867
Saved in:
10
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
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