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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142

Persistent link: https://www.econbiz.de/10011817944

Assessing the risk characteristics of the cryptocurrency market : a GARCH-EVT-Copula approach

Bruhn, Pascal; Ernst, Dietmar - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-28

The cryptocurrency market offers significant investment opportunities but also entails higher risks as compared to other asset classes. This article aims to analyse the financial risk characteristics of individual cryptocurrencies and of a broad cryptocurrency market portfolio. We construct a...

Persistent link: https://www.econbiz.de/10013380409

Liquidation discount : a novel application of ARFIMA-GARCH

Singh, Ranjodh B.; Gould, John; Chan, Felix; Yang, Wenling - In: Journal of empirical finance 36 (2016), pp. 151-161

Persistent link: https://www.econbiz.de/10011662835

Modeling and forecasting stock return volatility using a random level shift model

Lu, Yang K.; Perron, Pierre - In: Journal of empirical finance 17 (2010) 1, pp. 138-156

Persistent link: https://www.econbiz.de/10003943961

A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models

Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229

Persistent link: https://www.econbiz.de/10011300484

Modelling stock volatilities during financial crises : a time varying coefficient approach

Karanasos, Menelaos; Paraskevopoulos, Alexandros G.; … - In: Journal of empirical finance 29 (2014), pp. 113-128

Persistent link: https://www.econbiz.de/10011300501

Forecasting exchange rate volatility : the superior performance of conditional combinations of time series and option implied forecasts

Benavides, Guillermo; Capistrán Carmona, Carlos - In: Journal of empirical finance 19 (2012) 5, pp. 627-639

Persistent link: https://www.econbiz.de/10009700616

Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?

Berens, Tobias; Weiß, Gregor; Wied, Dominik - In: Journal of empirical finance 32 (2015), pp. 135-152

Persistent link: https://www.econbiz.de/10011556809

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

Forecast combinations for structural breaks in volatility : evidence from BRICS countries

De Gaetano, Davide - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-13

The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily returns on BRICS countries (Brazil, Russia, India, China and South Africa). The data set used in the analysis is the Morgan Stanley Capital International MSCI daily returns and...

Persistent link: https://www.econbiz.de/10011961363