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Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

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Model averaging in a multiplicative heteroscedastic model

Zhao, Shangwei; Ma, Yanyuan; Wan, Alan T. K.; Zhang, Xinyu - In: Econometric reviews 39 (2020) 10, pp. 1100-1124

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Forecasting cryptocurrencies under model and parameter instability

Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco - In: International journal of forecasting 35 (2019) 2, pp. 485-501

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Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50

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Interconnections between Eurozone and us booms and us busts using a Bayesian panel Markov-switching VAR model

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - In: Journal of applied econometrics 31 (2016) 7, pp. 1352-1370

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Optimal portfolio choice under decision-based model combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - In: Journal of applied econometrics 31 (2016) 7, pp. 1312-1332

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A class of model averaging estimators

Zhao, Shangwei; Ullah, Aman; Zhang, Xinyu - In: Economics letters 162 (2018), pp. 101-106

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Model averaging with averaging covariance matrix

Zhao, Shangwei; Zhang, Xinyu; Gao, Yichen - In: Economics letters 145 (2016), pp. 214-217

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Model averaging with high-dimensional dependent data

Zhao, Shangwei; Zhou, Jianhong; Li, Hongjun - In: Economics letters 148 (2016), pp. 68-71

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Using entropic tilting to combine BVAR forecasts with external nowcasts

Krüger, Fabian; Clark, Todd E.; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 470-485

Persistent link: https://www.econbiz.de/10011705954