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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

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 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

Terrorism and capital markets : the effects of the Madrid and London bomb attacks

Kollias, Chrēstos; Papadamou, Stephanos; Stagiannis, … - In: International review of economics & finance : IREF 20 (2011) 4, pp. 532-541

Persistent link: https://www.econbiz.de/10009303984

Volatility transmission between gold and oil futures under structural breaks

Ewing, Bradley T.; Malik, Farooq - In: International review of economics & finance : IREF 25 (2013), pp. 113-121

Persistent link: https://www.econbiz.de/10009693332

Co-movements among major European exchange rates : a multivariate time-varying asymmetric approach

Tamakoshi, Go; Hamori, Shigeyuki - In: International review of economics & finance : IREF 31 (2014), pp. 105-113

Persistent link: https://www.econbiz.de/10010490436

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

Right on target, or is it? : the role of distributional shape in variance targeting

Anatolyev, Stanislav; Khrapov, Stanislav - In: Econometrics : open access journal 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …

Persistent link: https://www.econbiz.de/10011410634

Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model

Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398

Persistent link: https://www.econbiz.de/10012692552

The economic sources of China's CSI 300 spot and futures volatilities before and after the 2015 stock market crisis

Chen, Qiang; Gong, Yuting - In: International review of economics & finance : IREF 64 (2019), pp. 102-121

Persistent link: https://www.econbiz.de/10012322288