Search Results - subject:"Realized measure"

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures

Wang, Chao; Gerlach, Richard; Chen, Qian - In: Quantitative finance 23 (2023) 2, pp. 309-334

Persistent link: https://www.econbiz.de/10014232647

Forecasting VIX with time-varying risk aversion

Wu, Xinyu; He, Qizhi; Xie, Haibin - In: International review of economics & finance : IREF 88 (2023), pp. 458-475

Persistent link: https://www.econbiz.de/10014475366

Forecasting VIX using two-component realized EGARCH model

Wu, Xinyu; Zhao, An; Liu, Li - In: The North American journal of economics and finance : a … 67 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014484064

Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting

Gerlach, Richard; Wang, Chao - In: Journal of financial econometrics 20 (2022) 1, pp. 105-138

Persistent link: https://www.econbiz.de/10012878188

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123

Persistent link: https://www.econbiz.de/10013168928

Bayesian analysis of realized matrix-exponential GARCH models

Asai, Manabu; McAleer, Michael - 2018

realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …

Persistent link: https://www.econbiz.de/10011794277

Realized Stochastic Volatility with General Asymmetry and Long Memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of...

Persistent link: https://www.econbiz.de/10011662536

Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017

Persistent link: https://www.econbiz.de/10011636455

Forecasting VaR using realized EGARCH model with skewness and kurtosis

Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430736

Improving the realized GARCH's volatility forecast for Bitcoin with jump-robust estimators

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, Jimmy J. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012654833