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1
Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.
;
Hsu, Hsiao-Yun
;
Watanabe, Toshiaki
- In:
Finance research letters
51
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
Saved in:
2
Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao
;
Huang, Zhuo
;
Liang, Fang
- In:
Finance research letters
54
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
Saved in:
3
Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Finance research letters
32
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
Saved in:
4
Long vs. short term asymmetry in volatility and the term structure of risk
Lönnbark, Carl
- In:
Finance research letters
23
(
2017
),
pp. 202-209
Persistent link: https://www.econbiz.de/10011808396
Saved in:
5
Modeling and forecasting firm-specific volatility : the role of asymmetry and long-memory
González-Pla, Francisco
;
Lovreta, Lidija
- In:
Finance research letters
48
(
2022
),
pp. 1-7
Persistent link: https://www.econbiz.de/10013463084
Saved in:
6
Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony
;
Walther, Thomas
- In:
Finance research letters
22
(
2017
),
pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
Saved in:
7
Forecasting volatility using realized stochastic volatility model with time-varying leverage effect
Wu, Xinyu
;
Wang, Xiaona
- In:
Finance research letters
34
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012436997
Saved in:
8
Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Chen, Zhenlong
;
Liu, Junjie
;
Hao, Xiaozhen
- In:
Finance research letters
64
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531739
Saved in:
9
Volatility or higher moments : which is more important in return density forecasts of stochastic volatility model?
Li, Chenxing
;
Zhang, Zehua
;
Zhao, Ran
- In:
Finance research letters
67
(
2024
)
2
,
pp. 1-11
Persistent link: https://www.econbiz.de/10015062448
Saved in:
10
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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