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Bayesian estimation for a semiparametric nonlinear volatility model
Hu, Shuowen; Poskitt, Donald Stephen; Zhang, Xibin - In: Economic modelling 98 (2021), pp. 361-370
Persistent link: https://www.econbiz.de/10012793996
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Modeling high-frequency volatility with three-state FIGARCH models
Shi, Yanlin; Ho, Kin-Yip - In: Economic modelling 51 (2015), pp. 473-483
Persistent link: https://www.econbiz.de/10011476127
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Detecting nonlinear dependencies in eurozone peripheral equity markets : a multistep filtering approach
Avdoulas, Christos; Bekiros, Stelios; Boubaker, Sabri - In: Economic modelling 58 (2016), pp. 580-587
Persistent link: https://www.econbiz.de/10011647569
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Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis
Charfeddine, Lanouar - In: Economic modelling 53 (2016), pp. 354-374
Persistent link: https://www.econbiz.de/10011641058
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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Realized volatility models and alternative Value-at-Risk prediction strategies
Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116
Persistent link: https://www.econbiz.de/10010425716
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Hedge fund return higher moments over the business cycle
Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
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Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
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Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867
Persistent link: https://www.econbiz.de/10003800096