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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl - In: Finance research letters 23 (2017), pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
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A fast, accurate method for value-at-risk and expected shortfall
Krause, Jochen; Paolella, Marc S. - In: Econometrics : open access journal 2 (2014) 2, pp. 98-122
exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010429763
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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
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Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model
Orlando, Giuseppe; Bufalo, Michele - In: Finance research letters 47 (2022) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10013455602
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A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
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Deep learning enhanced volatility modeling with covariates
Nguyen, Hien Thi; Nguyen, Hoang; Minh-Ngoc Tran - In: Finance research letters 69 (2024) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10015191477
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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
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Alright : asymmetric LaRge-scale (I)GARCH with Hetero-Tails
Paolella, Marc S.; Polak, Pawel - In: International review of economics & finance : IREF 40 (2015), pp. 282-297
Persistent link: https://www.econbiz.de/10011573592