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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
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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
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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
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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
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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
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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
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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
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Do structural breaks in volatility cause spurious volatility transmission?
Caporin, Massimiliano; Malik, Farooq - In: Journal of empirical finance 55 (2020), pp. 60-82
Persistent link: https://www.econbiz.de/10012175260
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Discussions on the spurious hyperbolic memory in the conditional variance and a new model
Ho, Kin-Yip; Shi, Yanlin - In: Journal of empirical finance 55 (2020), pp. 83-103
Persistent link: https://www.econbiz.de/10012175262
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Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877
Persistent link: https://www.econbiz.de/10003776390