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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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A long memory model with normal mixture GARCH
Cheung, Yin-Wong; Chung, Sang-Kuck - In: Computational economics 38 (2011) 4, pp. 517-539
Persistent link: https://www.econbiz.de/10009356868
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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
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.; Than-Thi, Hong; Asai, Manabu - In: Computational economics 58 (2021) 2, pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
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A time series framework for pricing guaranteed lifelong withdrawal benefit
Sharma, Nitu; Dharmaraja, Selvamuthu; Arunachalam, … - In: Computational economics 58 (2021) 4, pp. 1225-1261
Persistent link: https://www.econbiz.de/10012697910
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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
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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Forecasting inflation uncertainty in the United States and Euro area
Ftiti, Zied; Jawadi, Fredj - In: Computational economics 54 (2019) 1, pp. 455-476
Persistent link: https://www.econbiz.de/10012134205
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Hedging the risks of MENA stock markets with gold : evidence from the spectral approach
Ourir, Awatef; Bouri, Elie; Essaadi, Essahbi - In: Computational economics 61 (2023) 1, pp. 197-231
In this paper, we contribute to the old debate on the dynamic correlation between gold and stock markets by considering a spectral approach within the framework of portfolio hedging. Specifically, we consider eight MENA stock markets (Tunisia, Egypt, Morocco, Jordan, UAE, Saudi Arabia, Qatar,...
Persistent link: https://www.econbiz.de/10014228422