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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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Range-based DCC models for covariance and value-at-risk forecasting
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 54 (2019), pp. 58-76
Persistent link: https://www.econbiz.de/10012174846
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Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr; Fałdziński, Marcin; Molnár, Peter - In: Journal of empirical finance 70 (2023), pp. 308-321
Persistent link: https://www.econbiz.de/10014423712