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Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
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Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
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Smooth-transition GARCH models
González-Rivera, Gloria (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 3 (1998) 2, pp. 61-78
Persistent link: https://www.econbiz.de/10001769701
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Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
Chen, Xiaohong; Huang, Zhuo; Yi, Yanping - In: Journal of econometrics 222 (2021) 1,2, pp. 484-501
Persistent link: https://www.econbiz.de/10012619712
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Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021
The incidence of rare but extreme events appears to be significant in worldwide financial markets. In this chapter we apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing...
Persistent link: https://www.econbiz.de/10012604174
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Multi-modality in the likelihood function of GARCH model
Mahmood, Farrukh; Khan, Saud Ahmad - In: Review of Pacific Basin financial markets and policies 23 (2020) 3, pp. 2050018-1-2050018-23
Persistent link: https://www.econbiz.de/10012422504
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Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.; Kyriakopoulou, Dimitra - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
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Nonstationary GARCH with tt-distributed innovations
Pedersen, Rasmus Søndergaard; Rahbek, Anders - In: Economics letters 138 (2016), pp. 19-21
Persistent link: https://www.econbiz.de/10011615340
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Estimating the risk-return trade-off with overlapping data inference
Hedegaard, Esben; Hodrick, Robert J. - In: Journal of banking & finance 67 (2016), pp. 135-145
Persistent link: https://www.econbiz.de/10011634670
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On a threshold double autoregressive model
Li, Dong; Ling, Shiqing; Zhang, Rongmao - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 68-80
Persistent link: https://www.econbiz.de/10011691211