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Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864
Persistent link: https://www.econbiz.de/10010513848
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340
Persistent link: https://www.econbiz.de/10011446589
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Forecasting the volatility of crude oil futures using intraday data
Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659
Persistent link: https://www.econbiz.de/10010341244
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Asymmetries in stock markets
Wang, Peijie; Zhang, Bing; Zhou, Yun - In: European journal of operational research : EJOR 241 (2015) 3, pp. 749-762
Persistent link: https://www.econbiz.de/10010487566
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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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Option pricing with conditional GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: European journal of operational research : EJOR 289 (2021) 1, pp. 350-363
Persistent link: https://www.econbiz.de/10012416733
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Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun; Taylor, James W. - In: European journal of operational research : EJOR 280 (2020) 1, pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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Loss function-based change point detection in risk measures
Lazar, Emese; Wang, Shixuan; Xue, Xiaohan - In: European journal of operational research : EJOR 310 (2023) 1, pp. 415-431
Persistent link: https://www.econbiz.de/10014340186