Narrow search
Showing 1 - 10 of 13
Cover Image
Estimation of STAR-GARCH models with iteratively weighted least squares
Midiliç, Murat - In: Computational economics 55 (2020) 1, pp. 87-117
Persistent link: https://www.econbiz.de/10012222593
Cover Image
Capturing the regime-switching and memory properties of interest rates
Xi, Xiaojing; Mamon, Rogemar - In: Computational economics 44 (2014) 3, pp. 307-337
Persistent link: https://www.econbiz.de/10010489078
Cover Image
Markov Regime-Switching in-mean model with tempered stable distribution
Shi, Yanlin; Feng, Lingbing; Fu, Tong - In: Computational economics 55 (2020) 4, pp. 1275-1299
Persistent link: https://www.econbiz.de/10012223722
Cover Image
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
Cover Image
Forecasting with second-order approximations and Markov-switching DSGE models
Ivashchenko, Sergey; Çekin, Semih Emre; Kotzé, Kevin; … - In: Computational economics 56 (2020) 4, pp. 747-771
Persistent link: https://www.econbiz.de/10012390465
Cover Image
Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
Cover Image
Forecasting financial returns volatility : a GARCH-SVR model
Sun, Hao; Yu, Bo - In: Computational economics 55 (2020) 2, pp. 451-471
Persistent link: https://www.econbiz.de/10012223641
Cover Image
A hybrid metaheuristic for the efficient solution of GARCH with trend models
Uribe, Lourdes; Perea, Benjamin; Hernández del Valle, … - In: Computational economics 52 (2018) 1, pp. 145-166
Persistent link: https://www.econbiz.de/10012052926
Cover Image
On asymmetric market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.; Li, Muyi; Nguyen, Nga T. H.; Songsak … - In: Computational economics 49 (2017) 1, pp. 155-174
Persistent link: https://www.econbiz.de/10011751821
Cover Image
GARCHNet: Value‑at‑risk forecasting with GARCH models based on neural networks
Buczynski, Mateusz; Chlebus, Marcin - In: Computational economics 63 (2024) 5, pp. 1949-1979
Persistent link: https://www.econbiz.de/10014550845