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A novel jump diffusion model based on SGT distribution and its applications
Xu, Weijun; Liu, Guifang; Li, Hongyi - In: Economic modelling 59 (2016), pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
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A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin; Wu, Xinyu - In: Economic modelling 64 (2017), pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
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Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
Xie, Wen-jie; Jiang, Zhi-qiang; Zhou, Wei-xing - In: Economic modelling 36 (2014), pp. 8-17
Persistent link: https://www.econbiz.de/10010412098
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Modeling and forecasting return jumps using realized variation measures
Liu, Yi; Liu, Huifang; Zhang, Lei - In: Economic modelling 76 (2019), pp. 63-80
Persistent link: https://www.econbiz.de/10012198262
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On business cycle fluctuations in USA macroeconomic time series
Kiani, Khurshid M. - In: Economic modelling 53 (2016), pp. 179-186
Persistent link: https://www.econbiz.de/10011640993
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Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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An efficient estimate and forecast of the implied volatility surface : a nonlinear Kalman filter approach
Chen, Si; Zhou, Zhen; Li, Shenghong - In: Economic modelling 58 (2016), pp. 655-664
Persistent link: https://www.econbiz.de/10011647943
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Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio; Lenz, Jimmie - In: Economic modelling 136 (2024), pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666