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Sampling properties of criteria for evaluating GARCH volatility forecasts
Ulu, Yasemin - In: Applied financial economics 17 (2007) 7/9, pp. 671-681
Persistent link: https://www.econbiz.de/10003491214
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Forecasting volatility in the financial markets : a comparison of alternative distributional assumptions
Chuang, I.-yuan; Lu, Jin-ray; Lee, Pei-hsuan - In: Applied financial economics 17 (2007) 13/15, pp. 1051-1060
Persistent link: https://www.econbiz.de/10003590371
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The asymmetric impact of firm-specific and of index returns on the volatility processes of individual stocks
Voukelatos, Nikolaos - In: Applied financial economics 20 (2010) 19/21, pp. 1627-1638
Persistent link: https://www.econbiz.de/10009011576
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The smooth transition GARCH model: application to international stock indexes
Khemiri, Rim - In: Applied financial economics 21 (2011) 7/9, pp. 555-562
Persistent link: https://www.econbiz.de/10009153250
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Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
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Volatility effect of ETFs on the constituents of the underlying Taiwan 50 index
Lin, Ching-chung; Chiang, Min-Hsien - In: Applied financial economics 15 (2005) 18, pp. 1315-1322
Persistent link: https://www.econbiz.de/10003229125
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Short patches of outliers, ARCH and volatility modelling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - In: Applied financial economics 14 (2004) 4, pp. 221-231
Persistent link: https://www.econbiz.de/10001939247
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Stylized facts of return series, robust estimates and three popular models of volatility
Teräsvirta, Timo; Zhao, Zhenfang - In: Applied financial economics 21 (2011) 1/3, pp. 67-94
Persistent link: https://www.econbiz.de/10009124669
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Stability of the day of the week effect in return and in volatility at the Indian capital market : a GARCH approach with proper mean specification
Bhattacharya, Kaushik; Sarkar, Nityananda; … - In: Applied financial economics 13 (2003) 8, pp. 553-563
Persistent link: https://www.econbiz.de/10001770808
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The Black-Litterman model : the definition of views based on volatility forecasts
Duqi, Andi; Franci, Leonardo; Torluccio, Giuseppe - In: Applied financial economics 24 (2014) 19/21, pp. 1285-1296
Persistent link: https://www.econbiz.de/10010460181