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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

Marginal likelihood for Markov-switching and change-point GARCH models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522

Persistent link: https://www.econbiz.de/10010256919

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

Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals

Barigozzi, Matteo; Hallin, Marc - In: Journal of econometrics 216 (2020) 1, pp. 4-34

Persistent link: https://www.econbiz.de/10012439634

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

L1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors

Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of econometrics 191 (2016) 1, pp. 255-271

Persistent link: https://www.econbiz.de/10011598121

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417

Persistent link: https://www.econbiz.de/10012145042

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230

Persistent link: https://www.econbiz.de/10011705111

Quasi score-driven models

Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275

Persistent link: https://www.econbiz.de/10014364807

A residual bootstrap for conditional Value-at-Risk

Beutner, Eric; Heinemann, Alexander; Smeekes, Stephan - In: Journal of econometrics 238 (2024) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015073889

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