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Search: subject:"realized GARCH"
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ECONIS (ZBW)
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Augmenting the
Realized-GARCH
: the role of signed-jumps, attenuation-biases and long-memory effects
Papantonis, Ioannis
;
Rompolis, Leonidas S.
;
Tzavalis, Elias
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 171-198
Persistent link: https://www.econbiz.de/10014288888
Saved in:
3
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
4
Do realized higher moments have information content? : VaR forecasting based on the
realized
GARCH
-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
5
Realized
GARCH
, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
6
Quasi maximum likelihood estimation of vector multiplicative error model using the ECCC-GARCH representation
Xu, Yongdeng
- In:
Journal of time series econometrics
16
(
2024
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10015052951
Saved in:
7
"Good" and "bad" volatilities : a realized semivariance GARCH approach
Xu, Dinghai
- In:
Applied economics
56
(
2024
)
51
,
pp. 6391-6411
Persistent link: https://www.econbiz.de/10015073572
Saved in:
8
Forecasting volatility and tail risk in electricity markets
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Journal of Risk and Financial Management
14
(
2021
)
7
,
pp. 1-17
propose using
Realized
GARCH
-type models with multiple measurement equations based on robust estimators to account for market …
Persistent link: https://www.econbiz.de/10013200978
Saved in:
9
Forecasting volatility and tail risk in electricity markets
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
7
,
pp. 1-17
propose using
Realized
GARCH
-type models with multiple measurement equations based on robust estimators to account for market …
Persistent link: https://www.econbiz.de/10012622471
Saved in:
10
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
International journal of finance & economics : IJFE
28
(
2023
)
3
,
pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
Saved in:
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