Search Results - subject:"GARCH type models"

Sequential change-point detection in time series models with conditional heteroscedasticity

Lee, Youngmi; Kim, Sungdon; Oh, Haejune - In: Economics letters 236 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015071897

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility, Spanish macroeconomic factors, and stock prices during major crises such as geopolitical conflicts, the global financial crisis (GFC), and COVID-19, covering the period from Q2-1995...

Persistent link: https://www.econbiz.de/10014636061

Forecasting volatility of stock indices : improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators

Zhi De Khoo; Kok Haur Ng; You Beng Koh; Kooi Huat Ng - In: The North American journal of economics and finance : a … 71 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10014492106

Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm

Liang, Rubing; Qin, Binbin; Xia, Qiang - In: Computational economics 63 (2024) 1, pp. 193-220

Persistent link: https://www.econbiz.de/10014472071

Can Internet concern about COVID-19 help predict stock markets : new evidence from high-concern and low-concern periods

Ren, Jiqin; Guo, Yuanxuan; Li, Jingjing; Li, Jingjing - In: Applied economics 56 (2024) 35, pp. 4155-4176

Persistent link: https://www.econbiz.de/10014559277

Testing the random walk hypothesis for leading cryptocurrencies

Palamalai, Srinivasan; Kumar, K. Krishna; Maity, Bipasha - In: Borsa Istanbul Review 21 (2021) 3, pp. 256-268

Despite the rise in markets for cryptocurrencies at an outstanding pace, with consistently high trading volume and market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns is regarding (in)efficiency, viz. whether there exist...

Persistent link: https://www.econbiz.de/10012816801

Estimation of value at risk for copper

Gillas, Konstantinos Gkillas; Konstantatos, Christoforos; … - In: Journal of commodity markets 32 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014495711

VIX term structure forecasting : new evidence based on the realized semi-variances

Qiao, Gaoxiu; Jiang, Gongyue; Yang, Jiyu - In: International review of financial analysis 82 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013431317

Do long-memory GARCH-type-value-at-risk models outperform none-and semi-parametric value-at-risk models?

Buberkoku, Onder - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10012027037

The informational content of implied volatility : application to the USD/JPY exchange rates

Peng, Qing; Li, Jie; Zhao, Yu; Han, Wu - In: Journal of Asian economics 76 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013276004