Narrow search
Showing 1 - 10 of 741
Cover Image
Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures
Liu, Hung-Chun; Chiang, Shu-mei; Cheng, Nick Ying-pin - In: International review of economics & finance : IREF 22 (2012) 1, pp. 78-91
Persistent link: https://www.econbiz.de/10009618705
Cover Image
GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David; Hoogerheide, Lennart F. - In: Economics letters 123 (2014) 2, pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
Cover Image
The functional central limit theorem for ARMA-GARCH processes
Lee, Oesook - In: Economics letters 121 (2013) 3, pp. 432-435
Persistent link: https://www.econbiz.de/10010392236
Cover Image
Selection criteria in regime switching conditional volatility models
Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011297653
Cover Image
High and variable inflation : further evidence on the Friedman hypothesis
Caporale, Tony - In: Economics letters 54 (1997) 1, pp. 65-68
Persistent link: https://www.econbiz.de/10001222334
Cover Image
Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21
follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the … approximate maximum likelihood estimator for the GARMA-GARCH model. We discuss a Monte Carlo likelihood method for the GARMA …
Persistent link: https://www.econbiz.de/10011568296
Cover Image
Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
Cover Image
Fat tails in leading indicators
Kiss, Tamás; Österholm, Pär - In: Economics letters 193 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012509103
Cover Image
A suggestion for constructing a large time-varying conditional covariance matrix
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Economics letters 156 (2017), pp. 110-113
Persistent link: https://www.econbiz.de/10011822383
Cover Image
A score statistic for testing the presence of a stochastic trend in conditional variances
Hong, Yongmiao; Linton, Oliver; McCabe, Brendan Peter Martin - In: Economics letters 213 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10013442141