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Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei; Gel, Yulia R.; Balakrishna, N.; Abraham, Bovas - In: Journal of forecasting 30 (2011) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10009233916
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Variance targeting estimation of multivariate GARCH models
Francq, Christian; Horváth, Lajos; Zakoïan, Jean-Michel - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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Shifts in individual parameters of a GARCH model
Galeano, Pedro; Tsay, Ruey S. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 122-153
Persistent link: https://www.econbiz.de/10003997359
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Parameterizing unconditional skewness in models for financial time series
He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 208-230
Persistent link: https://www.econbiz.de/10003687850
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Detecting ARCH effects in non-Gaussian time series
Raunig, Burkhard - In: Journal of financial econometrics : official journal of … 6 (2008) 2, pp. 271-289
Persistent link: https://www.econbiz.de/10003687945
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Daily FX volatility forecasts : can the GARCH (1,1) model be beaten using high-frequency data?
McMillan, David G.; Speight, Alan E. H. - In: Journal of forecasting 31 (2012) 4, pp. 330-343
Persistent link: https://www.econbiz.de/10009576375
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Asymptotic properties of GARCH-X processes
Han, Heejoon - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 188-221
Persistent link: https://www.econbiz.de/10010519656
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Long memory and periodicity in intraday volatility
Rossi, Eduardo; Fantazzini, Dean - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 922-961
Persistent link: https://www.econbiz.de/10011417840
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
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Estimating and forecasting large panels of volatilities with approximate dynamic factor models
Luciani, Matteo; Veredas, David - In: Journal of forecasting 34 (2015) 3, pp. 163-176
Persistent link: https://www.econbiz.de/10011305278