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Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
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Measuring and comparing the value-at-risk using GARCH and CARR models for CSI 300 index
Wu, Chunchou - In: Theoretical economics letters 8 (2018) 6, pp. 1179-1187
Persistent link: https://www.econbiz.de/10011888169
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A new variant of RealGARCH for volatility modeling
Xie, Haibin; Qi, Nan; Wang, Shouyang - In: Finance research letters 28 (2019), pp. 438-443
Persistent link: https://www.econbiz.de/10012388363
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A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
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Forecasting time-varying covariance with a range-based dynamic conditional correlation model
Chou, Ray; Wu, Chun-Chou; Liu, Nathan - In: Review of Quantitative Finance and Accounting 33 (2009) 4, pp. 327-345
Persistent link: https://www.econbiz.de/10008531529
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A range-based volatility approach to measuring volatility contagion in securitized real estate markets
Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic Modelling 45 (2015) C, pp. 223-235
We use a newly-developed time-varying range-based volatility model to capture the dynamics of securitized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the presence of...
Persistent link: https://www.econbiz.de/10011190216
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Market Definition of Long Distance Transportation Market in Japan: An Event Study Approach
Mizuno, Tomomichi; Hanabusa, Kunihiro - In: Asian Journal of Law and Economics 2 (2011) 2
heteroskedasticity (GARCH) for an event study, we examine the impact of the attacks on Japanese airline and high-speed railway industries …
Persistent link: https://www.econbiz.de/10014585286
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Transitory and Permanent Volatility Components: The Case of the Middle East Stock Markets
Zarour, Bashar Abu; Siriopoulos, Costas P - In: Review of Middle East Economics and Finance 4 (2008) 2, pp. 80-92
Recent research has suggested that returns volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous agents (Andersen and Bollerslev 1997a, 1997b; Müller et al., 1997). This paper investigates the existence of such...
Persistent link: https://www.econbiz.de/10014618759
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Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10014620812
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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998 …). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior … distribution. The samples obtained by this algorithm are used for Bayesian analysis of the GARCH model. As numerical examples …
Persistent link: https://www.econbiz.de/10014620814