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Modelling and forecasting COVID-19 stock returns using asymmetric GARCH-ICAPM with mixture and heavy-tailed distributions
Rewat Khanthaporn; Wichitaksorn, Nuttanan - In: Applied economics 55 (2023) 51, pp. 6042-6061
Persistent link: https://www.econbiz.de/10014335891
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QARMA-Beta-t-EGARCH versus ARMA-GARCH : an application to S & P 500
Blazsek, Szabolcs; Mendoza, Vicente - In: Applied economics 48 (2016) 10/12, pp. 1119-1129
Persistent link: https://www.econbiz.de/10011432926
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Forecasting the intra-day effective bid ask spread by combining density forecasts
Fall, Malick; Louhichi, Waël; Viviani, Jean-Laurent - In: Applied economics 53 (2021) 50, pp. 5772-5792
Persistent link: https://www.econbiz.de/10012627098
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Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 53, pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
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Portfolio selection based on predictive joint return distribution
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Liu, Yezheng - In: Applied economics 51 (2019) 2, pp. 196-206
Persistent link: https://www.econbiz.de/10012160468
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Robust measures of skewness and kurtosis for macroeconomic and financial time series
Bastianin, Andrea - In: Applied economics 52 (2020) 7, pp. 637-670
Persistent link: https://www.econbiz.de/10012197454
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A structural Bayesian VAR for model-based fan charts
Österholm, Pär - In: Applied economics 40 (2008) 10/12, pp. 1557-1569
Persistent link: https://www.econbiz.de/10003743029
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GDP nowcasting: application and constraints in a small open developing economy
Madhou, Ashwin; Sewak, Tayushma; Moosa, Imad A.; … - In: Applied economics 49 (2017) 38, pp. 3880-3890
Persistent link: https://www.econbiz.de/10011819952
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Joint optimization of strategic fleet planning and contract analysis in tramp shipping
Laake, Jørgen; Zhang, Abraham - In: Applied economics 48 (2016) 1/3, pp. 203-211
Persistent link: https://www.econbiz.de/10011412662
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Event-study analysis by using dynamic conditional score models
Blazsek, Szabolcs; Monteros, Luis Antonio - In: Applied economics 49 (2017) 45, pp. 4530-4541
Persistent link: https://www.econbiz.de/10011844230